Johansen-Juselius procedure of cointegration analysis
AbstractThe following program written in TSP386 demonstrates the Johansen-Juselius procedure of cointegration analysis suggested in Johansen, Juselius (1990), Oxford Bulletin of Economics and Statistics Johansen, Juselius (1992), Journal of Econometrics For simplicity, the model contains only 3 variables (y1,y2,y3) and the lag of the VAR- System (in levels) is equal to 2. Furthermore, the constant is unrestricted. Although the file is written in the TSP386 syntax, it might be helpful for users of EViews as well.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoSoftware component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 16.
Programming language: TSP International
Date of creation:
Date of revision:
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann).
If references are entirely missing, you can add them using this form.