Hello, I am using the current cvs on Win XP. I wrote the following script to obtain the johansen trace pvalue and test statistics recursively: ----------------------------------- open denmark.gdt smpl full list Y = LRM IBO IDE scalar p = 3 #recursive test for same lag length over all the period matrix pv_trace = {} matrix test_trace = {} smpl 1980:1 1987:3 scalar T = $nobs smpl 1974:1 1979:1 loop for (i=1; i<=T; i+=1) coint2 p Y matrix pval = $pvalue pval = pval[,1]' #take the first column (Trace) and put it into row i pv_trace = pv_trace | pval matrix t = $test t = t[,1]' test_trace = test_trace | t smpl ; +1 endloop pv <- gnuplot 1 2 3 --with-lines --time-series \ --matrix=pv_trace --output=display --single-yaxis { set title 'Recursive p-value Trace-test'; } test <- gnuplot 1 2 3 --with-lines --time-series \ --matrix=test_trace --output=display --single-yaxis { set title 'Recursive t-value Trace-test'; } -------------------------------- Unfortunately I obtain the following error message "Warning: generated non-finite values" for some reason. Best wishes, Artur