Residuals from cointegrating equations, Johansen procedure
Posted: 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.
I impose just identifying restrictions but want to see if the residuals of restricted equations are stationary or not.
Thanks.