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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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Thanks.

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:

http://www.econometrics.com/examples/johan.sha

and the procedure is here:

http://www.econometrics.com/examples/johansen.prc

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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 (johansen.pro) 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