Dear all,
I extended the basics of the ca.jo function to incorporate five
different cases:
nc: no constant
rc: restricted constant, i.e. constant in cointegration vector
uc: unrestricted constant, i.e. constant in the deterministic part of
the model
crt: restricted constant + trend, i.e.
Dear list,
I am currently working on an extension of the basic ca.jo() function to
also make it possible to incorporate structural breaks, like in Johansen
et al. (2000). What I basically do is to add a matrix, which
incorporates possible structural breaks in the cointegration vector.
