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Grocer >> Johansen cointegration mmethod > johansen_normalize

johansen_normalize

normalize the eigen vectors and error correction terms

CALLING SEQUENCE

res=johansen_normalize(res,vari)

PARAMETERS

Input

* res = a johansen results tlist

* vari = a vector indicating the variables used for each normalization

 

Output

* res = the original tlist except for the 'evec' (eigenvectors) and 'alpha' (error correction terms) fields changed by the normalization.

DESCRIPTION

Normalizes the eigenvectors and error correction terms from a johansen estimation: for each cointegrating vector, a coefficient equal to 1 is attributed to the variable rank given by the user.

EXAMPLE

load(GROCERDIR+'\data\juselius.dat')
// create dummies used for regression p.111-112
post83q1=dummy(['1973q1';'2003q1'],['1983q1';'2003q1']);
dum75q4=dummy(['1973q1';'2003q1'],'1975q4')-0.5*dummy(['1973q1';'2003q1'],['1976q1';'1976q2']);
dum76q4=dummy(['1973q1';'2003q1'],'1976q4');
dum83q2=dummy(['1973q1';'2003q1'],'1983q2');
dum83q1=dummy(['1973q1';'2003q1'],'1983q1');
 
rj1=johansen(1,'dnk_Lm3rC','dnk_Lyr','dnk_DLpy','dnk_Rm','dnk_Rb','exo_lt=trend^1;post(1983q1)','exo_st=const;dum75q4;dum76q4;dum83q1')
 
rj1b=johansen_normalize(rj1,5,[3,1,4,2,5])
// Example taken from function johansen_d().
// The 5 potential cointegrating vectors are normalized by respectively the 3rd ('dnk_DLpy'),
// the first ('dnk_Lm3rC'), the 4th ('dnk_Rm'), the 2nd ('dnk_Lyr') and the 5th ('dnk_Rb') endogenous variable.

AUTHOR

Eric Dubois 2009

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