Major enhancement to Econometrics Toolbox including Cointegration
|8 Dec 2011||Stuart Kozola||
Econometrics Toolbox provides Engle-Granger and Johansen methods for cointegration testing and modeling. The Engel-Granger method tests for individual cointegrating relationships, and estimates their parameters. Johansen methods tests for multiple cointegrating relationships, and estimates parameters in corresponding vector error-correction (VEC) models. In addition, Johansen methods tests linear restrictions on both error-correction speeds and the space of cointegrating vectors, and estimates restricted model parameters.