King Plosser Stock Watson AER 1991

These are replication files for King, Plosser, Stock and Watson(1991). This does extensive analysis of the properties of the cointegration space on three and six variable systems, and includes examples of many important RATS procedures, such as @JOHMLE, @SWDOLS and @FORCEDFACTOR, and ESTIMATE with an error correction term.

kpsw1.rpf

Unit root tests, analysis of roots of VAR, preliminary analysis of cointegration using the @SWTRENDS, @SWDOLS and @JOHMLE procedures.

kpsw2.rpf

Tests of restrictions on the cointegrating vectors. Uses @SWDOLS extensively.

kpsw3.rpf

More tests of restrictions on the cointegrating vectors.

kpsw4.rpf

Monte Carlo integration of impulse responses on VECM with known cointegrating vectors.

kpsw5.rpf

Estimation of a VECM with estimated cointegration vectors.

kpsw6.rpf

Isolation of long-run balanced growth shock using @FORCEDFACTOR.