normalize the eigen vectors and error correction terms
res=johansen_normalize(res,vari)
* res = a johansen results tlist
* vari = a vector indicating the variables used for each normalization
* res = the original tlist except for the 'evec' (eigenvectors) and 'alpha' (error correction terms) fields changed by the normalization.
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. | ![]() | ![]() |