johansen — Johansen cointegration tests
[result]=johansen(p,k,arg1, ,argn)
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
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
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.