Johansen-Juselius procedure of cointegration analysis
The 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.
|Programming language:||TSP International|
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