• StFinMetrics

  • Referenced in 38 articles [sw29976]
  • such problems as testing for nonstationarity and cointegration; analysis of vector autoregressive and multivariate GARCH...
  • urca

  • Referenced in 15 articles [sw12245]
  • package urca: Unit root and cointegration tests for time series data. Unit root and cointegration...
  • RATS

  • Referenced in 18 articles [sw00780]
  • features, and information on the CATS cointegration analysis package...
  • CATS

  • Referenced in 10 articles [sw04122]
  • CATS (Cointegration Analysis of Time Series) is a set of cointegration analysis procedures written ... your data and choosing and testing a cointegration model. The program is almost completely menu...
  • tsDyn

  • Referenced in 9 articles [sw12355]
  • estimate a range of TVAR or threshold cointegration TVECM models with two or three regimes...
  • SSMMATLAB

  • Referenced in 5 articles [sw15531]
  • conditions, such as those that arise with cointegrated VARMA models, and missing values. There ... VARMA models, VARMAX models in echelon form, cointegrated VARMA models, and univariate structural or ARIMA...
  • xtwest

  • Referenced in 1 article [sw37501]
  • Error-correction-based cointegration tests for panel data. This article describes a new Stata command ... implements the four error-correction – based panel cointegration tests developed by Westerlund (2007). The tests ... heterogeneity, both in the long-run cointegrating relationship and in the short-run dynamics...
  • FCVARmodel

  • Referenced in 1 article [sw26083]
  • estimation and testing in the fractionally cointegrated VAR model. This manual describes the usage ... estimation and testing in the fractionally cointegrated vector autoregressive (VAR) model...
  • VGAMextra

  • Referenced in 1 article [sw30273]
  • model, error correction models for cointegrated time series, and ARMA-structures with Student-t errors...
  • Ranktest

  • Referenced in 1 article [sw31899]
  • column rank. Another example from econometrics concerns cointegration in vector autoregressive (VAR) models; the Johansen...
  • Modelbuilder

  • Referenced in 1 article [sw33980]
  • enhanced specification search algorithm. Extensions include cointegration analysis and automated construction of Error Correction Models...
  • xtpedroni

  • Referenced in 0 articles [sw37623]
  • Panel cointegration analysis with xtpedroni. In this article, I introduce the new command xtpedroni, which ... Econometric Theory 20: 597–625) panel cointegration test and the Pedroni (2001, Review of Economics ... wide (large N), xtpedroni tests for cointegration among one or more regressors by using seven ... test statistics under the null of no cointegration, and it also estimates the cointegrating equation...
  • partialCI

  • Referenced in 0 articles [sw19747]
  • package partialCI. Partial Cointegration. A collection of time series is partially cointegrated if a linear ... contain transient and permanent components alike. Partial cointegration has been introduced by Clegg and Krauss ... estimation, testing, and simulation routines for partial cointegration models in state space. Clegg...
  • EViews

  • Referenced in 39 articles [sw00254]
  • Eviews supports general statistical analysis and econometric analyses...
  • GAUSS

  • Referenced in 120 articles [sw00322]
  • The GAUSS Mathematical and Statistical System is a...
  • gretl

  • Referenced in 18 articles [sw00386]
  • gretl: Gnu Regression, Econometrics and Time-series Library...
  • ITSM

  • Referenced in 16 articles [sw00461]
  • ITSM (Interactive Time Series Modelling) 6.0 is an...
  • JMulTi

  • Referenced in 34 articles [sw00477]
  • JMulTi was originally designed as a tool for...
  • Mathematica

  • Referenced in 6445 articles [sw00554]
  • Almost any workflow involves computing results, and that...
  • Matlab

  • Referenced in 13702 articles [sw00558]
  • MATLAB® is a high-level language and interactive...