MacKinnon Critcal Values
Posted: Wed Jan 24, 2007 12:34 am
Greetings to all.
I would be gratefull if informed on how to use the MacKinnon procedure (MACKINNONCV.SRC) in order to estimate critical values for large m/v cointegration systems. What I need is the syntaxis of the command for case 4 of MacKinnon et al. (1999) and a system with 13 variables.
Thank you.
I would be gratefull if informed on how to use the MacKinnon procedure (MACKINNONCV.SRC) in order to estimate critical values for large m/v cointegration systems. What I need is the syntaxis of the command for case 4 of MacKinnon et al. (1999) and a system with 13 variables.
Thank you.