Bent Nielsen: DisCo

UPDATE: It is no longer necessary to use DisCo when modelling breaks. In a recent paper published in the Econometrics Journal (2000) Johansen, Mosconi and Nielsen the relevant asymptotic distributions are described with response surfaces. (28 July 2000)

DisCo version 1.4

Cointegration can be analysed in Vector Auto Regressive model by likelihood-based methods as described by Johansen (Econometrica, 1991) or Johansen (1995). In the presence of structural breaks in the deterministic terms the statistical analysis basically remains the same, however, the asymptotic distribution of the test for cointegration rank now depends on the time of the break. This asymptotic distribution can be simulated using DisCo.

DisCo is a DOS-program coded in Turbo Pascal. 

Download DisCo  version 1.4 in a zipped file.

The source code (zipped) and a manual (postscript) can also be downloaded. It is the intention to rewrite the "manual" (from 1993) in a near future.

A description of a bug in the version 1.3 of the program: PostScript (300 dpi, 33KB), Zipped (15KB)  

Links to Bent Nielsen at Nuffield College, Søren Johansen at the University of Copenhagen.

Update: 16 February 2001