johansen

johansen

Functions

#define jcode()
#define jrank()
#define effective_order()
#define auto_restr()
int n_restricted_terms ()
void print_Johansen_test_case ()
int gretl_VECM_id ()
int * VAR_list_composite ()

Types and Values

Description

Functions

jcode()

#define jcode(v) ((v->jinfo == NULL)? 0 : v->jinfo->code)

jrank()

#define jrank(v) ((v->jinfo == NULL)? 0 : v->jinfo->rank)

effective_order()

#define effective_order(v) (v->order+(v->ci==VECM))

auto_restr()

#define             auto_restr(v)

n_restricted_terms ()

int
n_restricted_terms (const GRETL_VAR *v);

print_Johansen_test_case ()

void
print_Johansen_test_case (JohansenCode jcode,
                          PRN *prn);

gretl_VECM_id ()

int
gretl_VECM_id (GRETL_VAR *vecm);

VAR_list_composite ()

int *
VAR_list_composite (const int *ylist,
                    const int *xlist,
                    const int *rlist);

Types and Values

enum JohansenCode

Members

J_NO_CONST

   

J_REST_CONST

   

J_UNREST_CONST

   

J_REST_TREND

   

J_UNREST_TREND

   

struct JohansenInfo_

struct JohansenInfo_ {
    int ID;               /* for identifying saved vars */
    JohansenCode code;    /* see enumeration above */
    int rank;             /* if specified, chosen cointegration rank, else 0 */
    int seasonals;        /* number of seasonal dummies included */
    gretl_matrix *R0;     /* residuals, VAR in differences */
    gretl_matrix *R1;     /* residuals, second regressions */
    gretl_matrix *S00;    /* cross-products of residuals */
    gretl_matrix *S11;    /* cross-products of residuals */
    gretl_matrix *S01;    /* cross-products of residuals */
    gretl_matrix *evals;  /* vector of eigenvalues */
    gretl_matrix *Beta;   /* matrix of eigenvectors */
    gretl_matrix *Alpha;  /* matrix of adjustments */
    gretl_matrix *Bvar;   /* variance matrix of beta */
    gretl_matrix *Bse;    /* standard errors of beta */
    gretl_matrix *Ase;    /* standard errors of alpha */
    gretl_matrix *R;      /* beta-restriction LHS matrix */
    gretl_matrix *q;      /* beta-restrictions RHS matrix */
    gretl_matrix *Ra;     /* alpha-restriction LHS matrix */
    gretl_matrix *qa;     /* alpha-restrictions RHS matrix */
    gretl_matrix *YY;     /* double-size Y matrix */
    gretl_matrix *RR;     /* double-size residuals matrix */
    gretl_matrix *BB;     /* double-size coefficient matrix */
    double ll0;           /* unrestricted log-likelihood */
    int lrdf;             /* df for likelihood ratio test */
    double prior_ll;      /* ll for prior model in restriction sequence */
    int prior_df;         /* df for prior model in restriction sequence */
};