egcitest with constraint
1 view (last 30 days)
Show older comments
Hi,
I am using the function egcitest in order to find a cointegration relationship between several variables. I have 2 issues:
First, it looks like the egcitest works only with 12 variables. I have 40 of them ...Do you know a way to increase the test to more than 12 variables.
Second, I would like to input some constraints on the values that the cointegrating vector can take. For example, from the MATLAB help example on egcitest, we have: a = reg(2).coeff(1); b = reg(2).coeff(2:3);
I would like to run egcitest specifying something like 1<b(1,1)<2, 0<b(1,2)<1.
Thanks in advance for your help.
0 Comments
Answers (0)
See Also
Categories
Find more on Cointegration Analysis in Help Center and File Exchange
Products
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!