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how can i do Johansen Cointegration Test with SHAZAM software

asked 2014-02-11 06:20:55 +0000

anonymous user


updated 2014-02-11 08:41:25 +0000

Hi I want to do Johansen Cointegration Test with SHAZAM software. I download Johansen procedure, commands and an example from the SHAZAM web site. But, when I run program face this error: “...ERROR.. JOHANSEN IS INVALID VARIABLE FOR EXEC C:\SHAZAM 9 Pro\JOHANSEN” In fact, I don’t know how to do Johansen Cointegration Test with SHAZAM software. Please, any help on how to conduct that test will be highly appreciated. Best, Maryam Shokoohi

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answered 2014-04-01 23:15:48 +0000

Daehoon Nahm gravatar image

updated 2014-04-02 18:23:16 +0000

Please try this one. Necessary instructions are written at the beginning of the procedure file and input file. Copy the files into your working directory and edit the input file (JOHANSEN.SHA) as instructed. (Be careful not to change anything in the procedure file: JOHANSEN.PRC.)

It is a modified version of the example in the Shazam manual and it is a bit 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. JOHANSEN.SHA johansen.prc

Good luck!

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answered 2014-02-11 11:28:37 +0000

updated 2014-02-22 07:56:59 +0000

If you are not altering the examples on the website, the important thing is to download them to the same path (folder) and not rename them. That message indicates that the procedure can't be found. You might also use the FILE PROCPATH statement to set the folder location of the procedure explicitly if that doesn't help or edit the FILE PROC statement in the example.

It also looks like you have a version of SHAZAM from around 10 years ago but the trial version of SHAZAM 11 on the website includes the Johansen test within the Demonstration Workspace that loads on start - I suggest you download that, install it and run the example if you continue to experience trouble.

The key lines in that demo are the declaration:

* Declare the procedure (the filename - this one is different to your example)
file proc Procedure - Johansen.prc

and the call to execute the procedure that should match the procedure name at the top of the procedure file.

* Call the procedure
exec Johansen
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Asked: 2014-02-11 06:20:55 +0000

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Last updated: Apr 02 '14