Hello TomDoan,
An Algorithm based on Johansen&Schaumburg would be exactly what I am looking for. In their paper DAHL PETERSEN is named with regard to a RATS procedure. But I could not find anything!
Would be great if you could find anything!
Thanks you so much in advance for your efforts!
Search found 2 matches
- Tue Aug 02, 2016 2:49 am
- Forum: Other Time Series Analysis
- Topic: seasonal cointegration
- Replies: 3
- Views: 8161
- Mon Aug 01, 2016 9:37 am
- Forum: Other Time Series Analysis
- Topic: seasonal cointegration
- Replies: 3
- Views: 8161
Re: seasonal cointegration
Hey, my question is similiar: Are they multivariate seasonal COintegration tests implemented in CATS? Or is any other procedure for RATS available? I am interested in looking for seasonality in quarterly/monthly data for three series and and also to see if they are cointegrated. Looking at the HEGY-...