Hi

In the article ”A small sample correction for the test of cointegrating rank in the vector autoregressive model” (Johansen, Econometrica, 70/5, 2002), it is told that a RATS program is given for calculating the correction factor in Johansen – Hansen – Fachin (2002)*. In CATS2, the correction is readily available, but only in cases where the maximum lag is 4 or smaller. I have tried to download the Johansen et al. (2002) paper and to find the RATS program through Estima pages and various RATS manuals, but have not succeeded.

I wonder whether there is such a code readily available?

*A simulation study of some functionals of random walk. / Johansen, Søren; Hansen, Henrik; Fachin, Stefano.

Københavns Universitet, 2002.

Publication: Research › Working paper