Residual-based tests for cointegration in models with regime shifts
Based on the paper Residual-based tests for cointegration in models with regime shifts, Journal of Econometrics (1996) by Allan W. Gregory and Bruce E. Hansen
Gretl package URL: http://ricardo.ecn.wfu.edu/gretl/cgi-bin/current_fnfiles/gregory_hansen.zip Original Gauss code URL: http://www.ssc.wisc.edu/~bhansen/papers/joe_96.html