Common cycles test

If you are seeking RATS code for implementing a particular technique or replicating results from a paper, post your request here. Be sure to include complete citations for any papers or books.
Post Reply
charly63
Posts: 10
Joined: Tue Apr 14, 2009 6:06 pm

Common cycles test

Unread post by charly63 »

Hi, I was wondering if the rats procedure cancorr.src that computes the canonical correlation can be adapted to test for common and codependent cycles with a cointegrated VAR as in Vahid and Engle (1993), Common trends and common cycles, J. of Applied econometrics, 8 (4), and by the same authors (1997), Codependent cycles, J. of Econometrics, 80 (2).
Thank you
Charly
Top
Post Reply

Return to “Looking for Code?”