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Grocer >> Johansen cointegration mmethod > johansen_test_exo_lt

johansen_test_exo_lt

test the correct inclusion of an exogenous in the cointegration space

CALLING SEQUENCE

[res]=johansen_test_exo_lt(res,nbrel,exo_lt_test,arg1,...,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 name 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 names of the exogenous variables in the short run dynamics of the VAR

  -res('exo_st') = the matrix of the exogenous variables in the short run dynamics 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 statistic for r=0 to m-1 (m x 1) vector

  -res('lr2') = maximum eigenvalue statistic 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') = name of the variables tested

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

  - res('test nb of draws')=NBoot

DESCRIPTION

In the Johansen procedure, impose and test that an exogenous variable has been correctly included in the cointegrating vectors. Note that the name of the variable must exactly be the same as in the field 'namexo_lt' of the input results tlist.

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')
 
r_test_exolt=johansen_test_exo_lt(rj1,2,'trend')
// 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 that belongs to the cointegration space and which is been tested is the trend, called 'trend'.

AUTHOR

Eric Dubois 2009

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