Johan Lyhagen

	Department of Informations Science/Statistics : Johan Lyhagen Program Code
	You may use the code iff: you accept the liability for any problem that might occur when using it; you must give appropriate credit to Johan Lyhagen in your papers where the code has been used; the use is non-commercial.

	The code is written for Gauss

	Asymptotic critical values for Cointegration
	Program to replicate Table 15.1 - Table 15.5 in Johansen (1995), i.e. critical values for the trace test statistic. z.prg Critical values for the trace test statistic for the seasonal (quarterly) case q.prg

	Cointegration and Estimation
	Estimates all the parameters of the VECM using the method described in Johansen (1995), i.e. alfa, beta, gamma, omega and the eigenvalues coint.prg

	Panel Cointegration
	Program used in the paper Testing for common cointegrating rank in dynamic panels n10n15t1.prg n10n15t1.out Program used in the paper Likelihood-Based Inference in Multivariate Panel Cointegration Models danr1.prg danr1.out

	Seasonal KPSS
	Critical values for the seasonal KPSS test for the seasonal (quarterly) case skpsscrit.prg The seasonal KPSS test skpss.prg

	Multivariate Data Generation
	Program used in my paper A method to generate multivariate data with moments arbitrary close to the desired moments mom.prg

	Other
	Estimates the GPH estimator of Geweke and Porter-Hudak (1983) gph.prg


	Page updated: 2002-08-07