Estimation of common long memory components by Granger(1995)

[upani]

Dear All,

I would like to know how to implement the code for Granger (1995) "Estimation of common long memory components in
cointegrated systems", Journal of Business & Economic Statistics for a bivariate case.

With regards,
Upananda Pani

[TomDoan]

It's Gonzalo and Granger, and it's already included as one of the paper replications.

[upani]

Dear Sir,

The paper replication is for three variables. I want to implement for a bivariate case.

Regards,
Upananda

[TomDoan]

It's actually for six (three each from US and Canada). But what's the issue? Apply the same calculations with two variables.