The RATS Software Forum

In CATS 2.05 the cointegration test is carried out using the "Lambda trace" test.
How can I obtain within the CATS 2.05 the statistic "Lambda max" to test Cointegration?
And, its asymptotic and small sample distributions?

The CATS manual and the Juselius K. book "The cointegration VAR model" do not talk at all about the
"Lambda max" ¿Why?

Thanks in advance

I believe Juselius et al now have a strong preference for the Trace approach, and have discontinued using the Lambda max approach. Accordingly, I don't believe the Lambda max computation is available at all in CATS 2.0.

Regards,
Tom Maycock
Estima