JOHMLE - Johansen ML Testing/Estimation for Cointegration
Posted: Tue Aug 02, 2011 12:41 pmJOHMLE does basic tests for cointegration using the Johansen ML technique. This is a very small subset of what the CATS package of procedures can do. This is a revised (February 2011) version of this.
@JohMLE( options) start end
# list of endogenous variables
Options:
LAGS=#of lags in the VAR (which means LAGS-1 on the differences)
DETERM=NONE/[CONSTANT]/TREND/RC - deterministic variables in the VAR
CONSTANT and TREND are in the model but not the CV. RC restricts a constant to the CV so there are no trends in the model.
SEASONAL/[NOSEASONAL]
SEASONAL includes seasonal dummies as deterministics
CV=ML estimator for a single cointegrating vector [not used]
VECTORS=matrix of (column) eigenvectors
EIGENVALUES=VECTOR of eigenvalues
DUALVECTORS=matrix of eigenvectors of the dual problem
LOADINGS=matrix of loadings ("alpha") of the cointegration vectors.
TRACETESTS=vector of trace test statistics
johmle.src- Procedure file
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@JohMLE( options) start end
# list of endogenous variables
Options:
LAGS=#of lags in the VAR (which means LAGS-1 on the differences)
DETERM=NONE/[CONSTANT]/TREND/RC - deterministic variables in the VAR
CONSTANT and TREND are in the model but not the CV. RC restricts a constant to the CV so there are no trends in the model.
SEASONAL/[NOSEASONAL]
SEASONAL includes seasonal dummies as deterministics
CV=ML estimator for a single cointegrating vector [not used]
VECTORS=matrix of (column) eigenvectors
EIGENVALUES=VECTOR of eigenvalues
DUALVECTORS=matrix of eigenvectors of the dual problem
LOADINGS=matrix of loadings ("alpha") of the cointegration vectors.
TRACETESTS=vector of trace test statistics