Johansen test with exogneous (dummy) variable Matlab

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Simon Christensen
评论： Simon Christensen 2024-2-7
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

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回答（2 个）

Andreas Goser
Andreas Goser 2024-2-7
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.
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Andreas Goser
Andreas Goser 2024-2-7
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
Simon Christensen 2024-2-7
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

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

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