English, Article edition: JOHANS: Stata module to perform Johansen-Juselius ML estimates of cointegration Patrick Joly; Ken Heinecke; Charles Morris

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Bookmark: http://trove.nla.gov.au/version/174391
Physical Description
  • code
Language
  • English

Edition details

Title
  • JOHANS: Stata module to perform Johansen-Juselius ML estimates of cointegration
Author
  • Patrick Joly
  • Ken Heinecke
  • Charles Morris
Physical Description
  • code
Notes
  • 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.
  • cointegration, Johansen, maximum likelihood, eigenvalue, canonical correlation
  • RePEc:boc:bocode:s419401
Language
  • English
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