SHAZAM Community
Ask Your Question

Revision history [back]

click to hide/show revision 1
initial version

Hi Also try this. It is a modified version of the example in the Shazam manual and it is more flexible in the sense that you can specify the model (i.e., including/excluding intercept for AR and/or CI equation). You can also estimate a VECM once CI vectors are identified, but except for the model with intercepts for both AR and CI equations. Copy both the input file (johansen.sha) and the procedure file ( into your working directory and edit the input file. The procedure file should not be changed. Instructions are written in the files, so please have a read.

Hope they are of help.