Name

johansen_test_lr_weak_exog — test the long run weak exogeneity of a subset of variables

CALLING SEQUENCE

[res]=johansen_test_lr_weakexo(res,nbrel,exo_lt_test,varg1,…,argn)

PARAMETERS

Input

• res = a johansen result tlist

• nbrel = a scalar, the # cointegration relations

• exo_lt_test = the name of the exogenous variable

• argi: arguments which can be:

 * the string 'NBoot=n' where n is the number of bootstrap draws (default: 999)

 * the string 'noprint' if the user doesn't want the to print the results of the regression

Output

• res =a results tlist:

  -res('namey') = the names of the variables (m x 1)

  -res('y') = matrix of values for the variables (m x 1)

  -res('namexo_lt') = the names of the exogenous variables in the cointegrating vectors

  -res('exo_lt') = the matrix of the exogenous variables in the cointegrating vectors

  -res('namexo_st') = the name of the exogenous variables in the short run dynamic of the VAR

  -res('exo_st') = the matrix of the exogenous variables in the short run dynamic of the VAR

  -res('dy') = the matrix of the differentiated endogenous variables

  -res('exo') = the matrix of the variables in the short run dynamics (lagged differentiated endogenous variables + short run exogenous variables)

  -res('lagy') = the matrix of the variables in the cointegrating relations (lagged endogenous variables + long run exogenous variables)

  -res('nobs') = # of observations

  -res('nvar') = # of variables

  -res('nlags') = # of lags of the VAR

  -res('eig') = eigenvalues (m x 1)

  -res('evec') = eigenvectors (m x m)

  -res('pi') = coefficients of the short run dynamics

  -res('lr1') = likelihood ratio trace statistics for r=0 to m-1 (m x 1) vector

  -res('lr2') = maximum eigenvalue statistics for r=0 to m-1 (m x 1) vector

  -res('dropna') = boolean indicating if NAs have been dropped

  -res('nonna') = vector indicating position of non-NA values (if the option 'dropna' was active)

  -res('max non zeros') = maximum number of zeros a variable had to be considered as a dummy

  -res('NBoot') = # of bootstrap draws

  -res('alpha') = value of the error correction coefficients

  -res('cvt') = critical values for trace statistic (m x 3) vector [90% 95% 99%]

  -res('cvm') = critical values for max eigen value statistic (3 x m) vector [90% 95% 99%]

  -res('p trace') = p-value for the trace statistic calculated with the standard bootstrap method

  -res('p lmax') = p-value for the lambda-max statistic calculated with the standard bootstrap method

  -res('p double trace') = p-value for the trace statistic calculated with the double bootstrap method

  -res('p double lmax') = p-value for the lambda-max statistic calculated with the double bootstrap method

  -res('prests') = boolean indicating the presence or absence of a time series in the regression

  -res('bounds') = if there is a time series in the regression, the bounds of the regression

  - res('nb of cointegration relations') = # of cointegration relations used for the test

  - res('test type') = 'some ec vectors imposed'

  - res('test stat') = value of the statistical test

  - res('bootstrap test pvalue') = the p-value of the test statistic calculated with the standard bootstrap method

  - res('fast double bootstrap test pvalue')= the p-value of the test statistic calculated with the double bootstrap method

  - res('variables tested') = supposed weak exogenous variables

  - res('nb variables tested') = # of variables tested

  - res('test nb of draws')=NBoot

DESCRIPTION

In the Johansen procedure, test the long run weak exogeneity of a subset of variables.

EXAMPLE

rjtest21=johansen_test_lr_weakexo(rj2,3,'dnk_Lm3rC')
 
 
Example taken from function johansen_d(). The first argument is the name of the result tlist stemming from a johansen estimation on Danish data. The number of cointegration relations is set to 2. The variable whose long run weak exogeneity is tested is the variable 'dnk_Lm3rC'. 
 

               

AUTHOR

Eric Dubois 2009