Replication of Juslius (2006)
1
Introduction
2
Data
2.1
Load Data
2.2
Dummy Variables
3
The Unrestricted VAR
4
The Cointegrated VAR
4.1
Estimation
4.2
Results
5
Testing Restrictions on
\(\beta\)
6
Identification of the long-run structure
6.1
Just-identified long-run structures
6.1.1
\(\mathcal{H}_{S.1}\)
in
Table 12.1
of
Juselius
(
2006
)
6.1.2
\(\mathcal{H}_{S.2}\)
in
Table 12.1
of
Juselius
(
2006
)
6.2
Over-Identified structures
6.2.1
\(\mathcal{H}_{S.3}\)
in
Table 12.3
of
Juselius
(
2006
)
6.2.2
\(\mathcal{H}_{S.4}\)
in
Table 12.3
of
Juselius
(
2006
)
References
Replication of The Cointegrated VAR Model
References
Juselius, Katarina. 2006.
The Cointegrated VAR Model: Methodology and Applications
. Oxford University Press.