A Python Module for Implementing Cointegration Tests with Multiple Endogenous Structural Breaks †

Testing for long-run relationships between time series variables with short-run adjustments is an integral part of many empirical studies nowadays. Allowing for structural breaks in the estimations is a pertinent issue within this context. The purpose of this paper is to provide a consumer-friendly module that is created in Python for implementing three residuals-based cointegration tests with two unknown regime shifts. The timing of each shift is revealed endogenously. The software is easy to use via a Graphical User Interface (GUI). In addition to implementing cointegration tests, the software also estimates the underlying parameters along with the standard errors and the significance tests for the parameters. An application is also provided using real data to demonstrate how the software can be used. To our best knowledge, this is the first software component created in Python that implements cointegration tests with structural breaks.