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johansen_beta_part

impose and test restrictions on the cointegration relations

CALLING SEQUENCE

res=johansen_beta_part(res,nbrel,H1,arg1,...,argn)

PARAMETERS

Input

* res = a johansen result tlist

* H1 = a (n x k) matrix doing making the passage from the free coefficients to the restricted ones

* nbrel = a scalar, the # cointegration relations

* 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')='common beta'

  - 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('H1') = matrix that transforms the free parameters parameters into the constrained ones

  - res('test nb of draws') = NBoot

DESCRIPTION

In the Johansen procedure, impose and test restrictions on the cointegration relations (beta coefficients).

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');
rj2=johansen(1,'dnk_Lm3rC','dnk_Lyr','dnk_DLpy','dnk_Rm','dnk_Rb',...
'exo_lt=post(1983q1)','exo_st=const;dum75q4;dum76q4;dum83q1')
 
H1=zeros(6,2);
H1(1,1)=1;
H1(2,1)=-1;
H1(6,2)=1;
 
rjtest13=johansen_beta_part(rj2,3,H1)
// 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 3.
// The matrix that realizes the transformation from the free parameters to the constrained ones is H1.

AUTHOR

Eric Dubois 2009

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