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t(5) PLRCointegration testing using a t(5) quasi likelihood© by André Lucas 1995
This is the Gauss source of the program used for the simulations in:
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:
Andre Lucas, Amsterdam, April 27, 1998 |