Residuals from cointegrating equations, Johansen procedure

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londonphd
Posts: 37
Joined: Fri Oct 23, 2015 11:39 am

Residuals from cointegrating equations, Johansen procedure

Postby londonphd » Wed May 18, 2016 12:11 pm

I was wondering if there is a line of code that helps obtain the residuals matrix of cointegrating vectors from Johansen procedure?
I impose just identifying restrictions but want to see if the residuals of restricted equations are stationary or not.

Thanks.

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