I am currently studying whether stock markets in the GCC region are cointegrated. All series are I(1); however, the Johansen test provides no robust evidence of cointegration. I then used the Bai Perron test for multiple breaks and found that there is about one break per year. Reading similar literature there are typically two ways of proceeding. First, to use the Gregory Hansen test if there is one break or use the Johansen procedure on sub-samples. However, as my sample is from 2012-2016, I feel as though multiple breaks and sub-samples would lead to unreliable inference. Please advise me on how I could proceed with this analysis. I only have access to EViews.
Update: I found the solution: Incase anyone may be in the same situation in the future, I used the Kejriwal and Perron test which isn't available without having to use coding and programming. Also, re-examine your data as there were a few issues there regarding market timing.