Re: [Gretl-users] VECM: stability analysis
Hi Arthur,
glad you asked -- here's a function package to do exactly that, written
by Andreas Noack Jensen at my request (and sponsored by the University
of Hamburg...). It's actually still waiting to be polished in terms of
the interface, menu integration, etc., and then to be transferred to the
package server, wich is on my to-do list.
Let me know about any problems,
Sven
[I'm sending a pdf doc file in a separate mail because of size
constraints in the list]
Am 25.11.2013 14:03, schrieb Artur T.:
Hi all,
I' am working on some cointegration analysis, and would like to run some
stability analysis for VECM models.
In the past I've done some of this stuff using JMulti or CATS (RATS),
but I am wondering whether somebody here in the list has already
programmed up some stuff like for instance the recursive eigenvalues
test proposed by Hansen and Johansen (1999) for gretl.
Attachments:
- coint2rec.gfn (text/xml — 9.5 KB)