Is anyone aware of a library or package to estimate cointegrating systems by FIML (Johansen, 1988)? I know there is small amount of code on Prof Koenker's site, I wondered if anyone has done the rest, and could save me a little effort. Many thanks Ricardo Orsi -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
Johansen cointegration
1 message · Ricardo Orsi