egcitest with constraint

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Xavier 2012-2-29

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https://ww2.mathworks.cn/matlabcentral/answers/30625-egcitest-with-constraint

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.