Seasonal Cointegration

A forum for questions and answers regarding the CATS cointegration procedure
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fariasr
Posts: 1
Joined: Wed Nov 13, 2013 2:25 pm

Seasonal Cointegration

Unread post by fariasr »

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.
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