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- Mon Sep 08, 2014 5:20 pm
- Forum: CATS Questions
- Topic: Seasonal Cointegration
- Replies: 0
- Views: 40491
Seasonal Cointegration
Hello: I am looking for the code mentioned in Johansen and Schaumburg (1999) to perform the estimation of the n - dimensional vector autorregressive model for seasonal cointegration. The authors of the paper that i am referencing mention that the code is available in RATS (written by Dahl Pedersen (...