SHAZAM Community
Ask Your Question

Revision history [back]

Daehoon Nahm has written a procedure for this. See:

http://community.econometrics.com/question/441/how-can-i-do-johansen-cointegration-test-with-shazam-software/

Daehoon Nahm has written a Yes. A Procedure for the Johansen VECM method can be found in the Procedure Library (SHAZAM 11.1 or later). This procedure for this. See:permits changes to parameter MODEL as follows:

 MODEL=j where the values are:
   j=0 for neither drift in DX nor constant in CE;
   j=1 for drift in DX but no constant in CE;
   j=2 for no drift in DX but constant in CE; and
   j=3 for both drift in DX and constant in CE

http://community.econometrics.com/question/441/how-can-i-do-johansen-cointegration-test-with-shazam-software/This procedure was written by Daehoon Nahm at Macquarie University. See also this question:

Yes. A SHAZAM Procedure for the Johansen VECM method can be found in the Procedure Library (SHAZAM supplied with SHAZAM 11.1 or later). This procedure permits changes to parameter MODEL as follows:later.

The procedure permits specification of seasonality, number of lags, endogenous variable and the number of cointegrating vectors. If the number of cointegrating vectors specified is 0 then the procedure will carry out rank tests and estimate a VECM if one or more is found. MODEL=j where the values are: j=0 for neither A number of different combinations of drift in DX nor constant in CE; j=1 for drift in DX but no constant in CE; j=2 for no drift in DX but constant in CE; and j=3 for both drift in DX and constant in CE

error correction term specifications can be selected.

This procedure was written by Daehoon Nahm at Macquarie University. See also this question:

Yes. A SHAZAM Procedure for the Johansen VECM method can be found in the Procedure Library supplied with SHAZAM 11.1 or later.

The procedure permits specification of seasonality, number of lags, endogenous variable variables and the number of cointegrating vectors. If the number of cointegrating vectors specified is 0 then the procedure will carry out rank tests and estimate a VECM if one or more is found. A number of different combinations of drift and error correction term specifications can be selected.

This procedure was written by Daehoon Nahm at Macquarie University. See also this question:

Yes. A SHAZAM Procedure for the Johansen VECM method can be found in the Procedure Library supplied with SHAZAM 11.1 or later.

The procedure permits specification of seasonality, number of lags, endogenous variables and the number of cointegrating vectors. If the number of cointegrating vectors specified is 0 then the procedure will carry out rank tests and estimate a VECM if one or more is found. A number of different combinations of drift and error correction term specifications can be selected.

This procedure was written by Daehoon Nahm at Macquarie University. See also this question:.