Seasonal Cointegration
Posted: Mon Sep 08, 2014 5:20 pm
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.
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.