/*
** Lesson 14.3: Cointegration Test
** Johansen Approach
*/
use gpe2;
output file = gpe\output14.3 reset;

load z[67,3] = gpe\usyc87.txt;
y = z[2:67,2];
c = z[2:67,3];
ns = {"c","y"};

data = y~c;  @ data matrix for cointegration test @

call reset;
_rstat=1;
_method=3;
_dlags=3;                @ find the proper order p @
call estimate(data,0);   @ for VAR(p) model estimation @

@ Johansen cointegration test based on VAR(3) model @
call johansen(data,3,2); @ model with trend drift @       
call johansen(data,3,1); @ model with drift only @
call johansen(data,3,0); @ model with no drift @
end;

#include gpe\johansen.gpe;