Pesaran, Shin, Smith (2000)

[jonasdovern]

I am wondering how to implement the test for the cointegrating rank in models with exogenous I(1) variables (Pesaran, Shin, Smith (2000), Structural analysis of vector error correction models with exogenous I(1) variables, Journal of Econometrics, 97, 293-343) in an easy way.

Critical values can be taken from Tables 6 of their paper. I just not sure about whether I can use the usual ECM-structure/@johmle-procedure in some form to fit this type of model.

Has anybody experience with estimating this type of model in RATS?