Hi,

I'm estimating a VEC model in CATS 2.0, as shown below:

***********************************

CALENDAR(Q) 2000:1

DATA(FORMAT=RATS) 2000:01 2020:02 X1 X2 X3 X4 X5 DS1 DS2 DI3

@cats(lags=3,exo,break=level,dummy,dettrend=cidrift)

# X1 X2 X3 X4

# X5

# 2007:4

# DS1 DS2 DI3

**************************************

Where ds1, ds2, di3 are dummy variables.

I'm trying to achieve the Gonzalo & Granger decomposition (Gonzalo & Granger JBES 1995), as exemplified in the RATS code of Paper Replication Examples. One key step in that program is to store and retrieve all the eigenvectors/dualvectors when running the Johansen ML estimation, as specified in the options of <<JOHMLE>> procedure:

**********************************************************************

@johmle(lags=2,vectors=ejoint,dual=djoint,eigenval=vjoint)

# canst canmt canlt usast usamt usalt

***********************************************************************

My question is, how do I store and retrieve the same vectors(=ejoint), especially DUALVECTORS(=djoint), in my CATS program listed at the beginning? I guess I can't use <<JOHMLE>> for my VEC model since there are exogeneous variable, break, and dummies?

Thank you in advance for any help!

Jeff