Name

johansen — Johansen cointegration tests

CALLING SEQUENCE

[result]=johansen(p,k,arg1,…,argn)

PARAMETERS

Input

• p: order of time polynomial in the null-hypothesis

 - p = -1, no deterministic part

 - p =  0, for constant term

 - p =  1, for constant plus time-trend

 - p >  1  returns no critical values

• k: number of lagged difference terms used when computing the estimator

• namey: a time series, a real (nx1) vector or a string equal to the name of a time series or a (nx1) real vector between quotes

• argi: arguments which can be:

 * a time series

 * a real (nx1) vector

 * a string equal to the name of a time series or a (nx1) real vector between quotes

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

Output

• result =a results tlist:

  - result('meth') = 'johansen'

  - result('namex') = the name of the variables (m x 1)

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

  - result('nobs') = # of observations

  - result('nvar') = # of variables

  - result('nlags') = k

  - result('trend') = p

  - result('eig') = eigenvalues (m x 1)

  - result('evec') = eigenvectors (m x m), where first r columns are normalized coint vectors

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

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

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

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

  - result('ind') = index of co-integrating variables ordered by size of the eigenvalues from large to small

DESCRIPTION

Performs Johansen cointegration tests.

EXAMPLE

result = johansen(0,9,'illinos','indiana','kentucky','michigan','ohio','pennsyvlania',
'tennesse','westvirginia')
 
Example is taken from fucntion johansen_d. It provides Johansen cointegration test for  
the 9 variables in data base jpl.dat. There is no trend (first entry set to 0) and 9
lags of each endogenous variable.

               

AUTHOR

Eric Dubois 2002