Forecasting Cointegrated Systems, Christoffersen/Diebold

jonasdovern · Unread post by **jonasdovern** » Fri Mar 28, 2014 3:55 am

Dear RATS users,

does anybody know if there is an implementation of the derivation of the "triangular system" of a cointegrated VAR model as suggested by Clements and Hendry (1995), Forecasting in Cointegrated Systems, Journal of Applied Econometrics, 10(2), 127-147, hidden in one of the RATS procedures?

This approach is also used in Christoffersen and Diebold (1998), Cointegration and Long-Horizon Forecasting, Journal of Business & Economic Statistics, 16(4), 450-458.

What I have are the estimated coefficients of a VECM (including the cointegration vectors and loading coefficients) and what I would like to derive is the measure MSE_tri from section 2.3 of Christoffersen and Diebold.

I appreciate any help. Jonas.