Johansen test with exogneous (dummy) variable Matlab

Titel: Johansen test with exogneous (dummy) variable Matlab

Hi Matlab,

Does anyone know, if it is possible ot conduct Johansen test with exogneous (dummy) variable in Matlab?

Best regards

Answer 1

[Andreas Goser]

Is JCITEST what you are looking for? https://www.mathworks.com/help/econ/jcitest.html

If not: I always would say it is possible, even if there is no standard command. If you can provide a link that describe what you need, maybe it easy to implement.

[Simon Christensen]

Hi Andreas,

Thanks fo the reply.

Jep, I'm using JCITEST, but it seems very strange Matlab cannot handle Exogenous variables in JCITEST test.

So, lets say I am estimating a VEC (varm in Matlab) model; before the model estimation I need to the know the cointegration cointegration rank. But in my model, I need exogenous variable such as dummies for season, outliers and so on.

Therefore I need to include exogenous variables (season dummies) in JCITEST, but does not seems possible.

Thanks,

Best regards Simon

[Andreas Goser]

Simon, as I am not a domain expert in this area, I reached out to Development to see whether your question is easy and could be answered here. It is not. To summarize my understanding: It is not possible, but it has a mathematical reason as oppsed this being a product limitation.

Again - from what I understand - MathWorks engineers can recommend an alternate approach for you, but this needs a bit more background information from your end. My suggestion: Please submit a support request with MathWorks Technical Support sharing your project background and goal, maybe a sample of data. Provide a link to this post and suggest the support case owner should get in touch with me. I will then help linking the support engineer with the right developer.

[Simon Christensen]

Hi again,

Thanks for your reply.

I think I'm familiar with the mathematical reason, but I will follow your approach.

Thank you very much for your help :-)

Have a nice day,

Best regards, Simon

Answer 2

[Simon Christensen]

Also in 'Model — Johansen form of VEC(q) model deterministic terms', is no such possibility to include dummies.