Estimating a Trace Statistic from a changed Eigenvalue

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clark106
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Joined: Fri Dec 09, 2011 11:26 am

Estimating a Trace Statistic from a changed Eigenvalue

Postby clark106 » Fri Dec 09, 2011 11:33 am

Hello,
I've been searching all over trying to find a way, when running the Johansen testing procedure on three series, I have the three generated eigenvalues and their trace statistics however if I want to hypothetically change one of the Eigenvalues, I want to see it's change on the trace statistic to note any interference it would cause.

I know the equation for a trace statistic but I can't generate the result, and I was wondering if there is a way to do this in eviews?

Thank you

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