Part IX. Johansen cointegration mmethod

Table of Contents

c_sja — critical values for Johansen maximum eigenvalue statistic
c_sjt — critical values for Johansen trace statistic
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