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A Johansen test for Cointegration?

asked 2011-04-06 13:48:29 +0000

updated 2011-04-06 17:37:28 +0000

A SHAZAM User Asked:

I am using SHAZAM and having problem with conducting the Johansen Tests fo Cointegration. Any help on how to conduct that test will be highly appreciated.

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Raj gravatar imageRaj ( 2017-01-08 16:05:43 +0000 )edit

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answered 2011-04-06 13:49:21 +0000

Here is an example:

and the procedure is here:

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answered 2014-04-02 18:17:33 +0000

Daehoon Nahm gravatar image

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.

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Asked: 2011-04-06 13:48:29 +0000

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Last updated: Apr 02 '14