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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 | # Replication of some of the results on Danish macro
# data in S. Johansen, "Likelihood-Based Inference in
# Cointegrated Vector Auto-Regressive Models" (Oxford,
# 1995), chapter 7.
open denmark.gdt
# determination of the cointegration rank
coint2 2 LRM LRY IBO IDE --rc --seasonals
# estimation of the vector EC model
vecm 2 1 LRM LRY IBO IDE --rc --seasonals
# retrieve the cointegration vector and the loadings
matrix alpha = $jalpha
matrix beta = $jbeta
matrix Pi = alpha*beta'
print "Restricted long-run matrix"
Pi
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