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Feb 16

Matlab implementation of cointegration tests

Posted by abiao at 18:26 | Code » C++ | Comments(0) | Reads(17318)
Matlab of the paper "Implementing Pesaran-Shin-Smith"

This first year paper is based on Pesaran et al. (2000) who generalise the cointegration tests
introduced by Johansen to include exogenous I(1) variables in a VECM model. It reiterates
the proofs for their central test statistics and presents them in a less dense format: Following
Pesaran et al. (2000), this paper focuses on the derivation of the corresponding cointegrating rank
tests, by first introducing a VAR model, subsequently deriving the likelihood for the cointegration
parameters and, finally, the test statistics and their asymptotic distributions. The final section
introduces tests on whether the required exogeneity restrictions hold. In addition, this paper is
concerned with implementing the mentioned test statistics in a Matlab routine.

Paper and Matlab code: http://www.zeugner.eu/arbeiten/tafel.php

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