Seasonal Cointegration

A forum for questions and answers regarding the CATS cointegration procedure

Seasonal Cointegration

Unread postby fariasr » Mon Sep 08, 2014 5:20 pm

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 (1996)) but i can not find it.


Thanks in advance.
fariasr
 
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