Johansen-Juselius procedure of cointegration analysis

Christian Dreger

QM&RBC Codes from Quantitative Macroeconomics & Real Business Cycles

Abstract: The following program written in TSP386 demonstrates the Johansen-Juselius procedure of cointegration analysis suggested in Johansen, Juselius (1990), Oxford Bulletin of Economics and Statistics Johansen, Juselius (1992), Journal of Econometrics For simplicity, the model contains only 3 variables (y1,y2,y3) and the lag of the VAR- System (in levels) is equal to 2. Furthermore, the constant is unrestricted. Although the file is written in the TSP386 syntax, it might be helpful for users of EViews as well.

Language: TSP International
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https://dge.repec.org/codes/dreger/jjcoint.tsp This part does the calculation of the Trace-Statistic, the estimation of the unrestricted cointegrating vectors and the corresponding matrix of feedback coefficients (application/x-tsp)
https://dge.repec.org/codes/dreger/jjcoint1.tsp In the following analysis, the cointegration rank is known and here -by assumption- equal to 2. In general, this can be tested by the program given above. This part tests the validity of same restrictions on all cointegrating vectors and provides the estimation of the model under the null. The application below tests, f.e., whether the coeffients of y1 and y2 are equal and have opposite signs in the r=2 cointegrating relationships. (application/x-tsp)
https://dge.repec.org/codes/dreger/jjcoint2.tsp This part tests, whether a fully specified relation is in the cointegration space and provides the estimation of the model under the null. The application below tests, f.e., whether y3 is stationary, i.e. contains no unit root. The testing requires the calculation of two eigenvalue problems. (application/x-tsp)
https://dge.repec.org/codes/dreger/jjcoint3.tsp This part belongs to short-run analysis. One have to determine those variables, who react in order to re-establish the long-run, when there are temporary deviations from steady-state. The application tests, f.e., whether y1 is weakly exogenous in respect of the cointegration relations and provides the estimation of the model under the null. (application/x-tsp)
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