Hi everyone!
I really need your advice!! I have a multivariate time-series model with yearly observations. I have run the engle-granger 2-step ecm procedure and I found co-integration. Now, I want to check for structural breaks in the co-inetgrated equation. Does anyone know how I can do this? The command estat sbsingle does not work for me, only the estat sbcusum gives results. I've also tried the ghansen test, but unfortunately, I use five independent variables and ghansen supports only 4 left-hand side variables. I would like to perform a Chow test, but I cannot find it. Is there any code about that? Does anyone have an idea? Thank you in advance, I really appreciate your help!
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