Part IX. Johansen cointegration mmethod
Table of Contents
johansen
— Johansen cointegration tests
johansen_beta_part
— impose and test restrictions on the cointegration relations
johansen_common_beta
— impose and test common restrictions on the cointegration relations
johansen_eigen
— calculate eigen values of a johansen procdure
johansen_known_alpha
— impose and test known columns of the error correction terms
johansen_known_beta
— impose and test restrictions on the cointegration relations
johansen_normalize
— normalize the eigen vectors and error correction terms
johansen_test_exo_lt
— test the correct inclusion of an exogenous in the cointegration space
johansen_test_lr_weak_exog
— test the long run weak exogeneity of a subset of variables
johansen _test_lr_weak_exog
— test the long run weak exogenity of a subset of variables