Modify matlab code: Johansen cointegration with deterministic structural breaks
$100-600 USD
In Progress
Posted over 18 years ago
$100-600 USD
Paid on delivery
The Spatial Econometrics free library for matlab at [login to view URL] has a function 'johansen' which calculates cointegration vectors for multivariate time series. This function does not allow dummies however. [login to view URL] I need the johansen method modified to allow dummies as described in the attached paper. The entire spatial-econometrics library can be found at [login to view URL]
## Deliverables
The modified johansen method matlab function, as well as any new supporting methods, which are compatible with the existing spatial econometrics package. The function should allow for dummy variables to be specified to represent structural breaks as described in the attached papers. The output of the functions should agree with the results published in the papers.
## Platform
Matlab 6.0+. The program should not make use of any machine language natice code and should be pure matlab only.