t(5) PLR

Cointegration testing using a t(5) quasi likelihood

© by André Lucas 1995

 


This is the Gauss source of the program used for the simulations in:

  • Franses, P.H., and A. Lucas (1998): "Outlier detection in cointegration analysis", Journal of Business and Economic Statistics, to appear,

and its predecessors. The programming is in certain places ad hoc, especially the printing of weights etc. So you have to put some effort into getting everything out you want.

I also have routines doing cointegration testing and modeling based on LM procedures. These are nices and can print out standard errors and regression results as well as simulated p-values. Relevant references are:

  • Lucas, A. (1998): "Inference on cointegrating ranks using LR and LM tests based on pseudo-likelihoods," Econometric Reviews forthcoming.
  • Franses, P.H., T. Kloek, and A. Lucas (1998): "Outlier robust analysis of long-run marketing effects for weekly scanning data," Journal of Econometrics, to appear.

Andre Lucas, Amsterdam, April 27, 1998

Download PLR source.