Dynamically access p values from Johansen cointegration test
Posted: Tue Oct 20, 2015 7:28 pm
Hi,
I would like to know - is it possible to dynamically access (in other words in a program file) the p values that are generated from carrying out a Johansen test on a VEC?
At the moment I have the following:
Which saves the eigenvalues of the test, but does not provide the p values, which I actually need. Do you know if this is possible? If not, is there a place I can find the distribution tabulated?
Best,
Ben
I would like to know - is it possible to dynamically access (in other words in a program file) the p values that are generated from carrying out a Johansen test on a VEC?
At the moment I have the following:
Code: Select all
var macro1.ec(d) 1 6 x1 x2
macro1.coint(d,save=root)
Best,
Ben