Johansen and Nielsen (2012, Econometrica, forthcoming)

[g_defi]

Dear all,

I'm interested in the use of the new Matlab package for estimation and testing in the fractionally cointegrated VAR model. This software was proposed by Johansen and Nielsen (2012, Econometrica, forthcoming) and Nielsen and Morin (2012, http://www.econ.queensu.ca/faculty/mon/software/). I think it is a major contribution in this literature and translate this Matlab package to the RATS programming language should be usefull.

Thanks

[TomDoan]

It doesn't sound like there's a lot to it other than a great deal of number crunching. You have to search over the fractional differencing parameters, filtering the data and applying standard maximum likelihood cointegration calculations (basically JOHMLE) to get the log likelihood.