A small doubt related to Vector error Correction Model.
I have four macroeconomic variables from 1990-2018, where all 4 four variables have different multiple structural breaks during their history (for e.g during recession and some other dates).
I would like to do a cointegration test and due to presence of these structural breaks in these series, normal Johansen test results would be incorrect. There is also Gregory-Hansen test but I believe that is for one structural break only.
I have come across this blog by David Giles, which develops a methodology for doing cointegration tests, but again this is for only one structural break I believe :
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Can anyone guide me how to do the VECM procedure in case of structural breaks of variables in r, python, eviews or stata in this scenario
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