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)
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.
DisCo version 1.4 in a zipped file.
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:
(300 dpi, 33KB), Zipped
Links to Bent
Nielsen at Nuffield College,
at the University of Copenhagen.
Update: 16 February 2001