JOHANS: Stata module to perform Johansen-Juselius ML estimates of cointegration

Patrick Joly (), Ken Heinecke and Charles Morris
Additional contact information
Patrick Joly: Industry Canada
Ken Heinecke: Federal Reserve Bank of Kansas City
Charles Morris: Federal Reserve Bank of Kansas City

Statistical Software Components from Boston College Department of Economics

Abstract: This command is an updated version of mlcoint, originally written by Heinecke and Morris, part of the tslib (Stata 5) time-series package, the use of which is somewhat problematic under Stata 6 or 7. This version of mlcoint implements the Johansen and Juselius maximum likelihood procedure for cointegration (the maximum eigenvalue and trace test statistics) as well as likelihood-ratio and Wald test statistics for the exclusion of variables from the cointegrating relationship. This is version 3.0 of the software, which requires Stata 7.

Language: Stata
Requires: Stata version 7.0
Keywords: cointegration; Johansen; maximum likelihood; eigenvalue; canonical correlation (search for similar items in EconPapers)
Date: 2001-06-24, Revised 2003-04-15
Note: This module may be installed from within Stata by typing "ssc install johans". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/j/johans.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/j/johans.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lrjtest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lrjtest.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wjtest.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wjtest.hlp help file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s419401

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