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%% Test Multiple Series for Cointegration Using jcitest %% % Load data on term structure of interest rates in Canada: % Copyright 2015 The MathWorks, Inc. load Data_Canada Y = Data(:,3:end); names = series(3:end); plot(dates,Y) legend(names,'location','NW') grid on %% % Test for cointegration: [h,pValue,stat,cValue,mles] = jcitest(Y,'model','H1'); h,pValue %% % Plot estimated cointegrating relations $B^\prime y_{t - 1} + c_0$: YLag = Y(2:end,:); T = size(YLag,1); B = mles.r2.paramVals.B; c0 = mles.r2.paramVals.c0; plot(dates(2:end),YLag*B+repmat(c0',T,1)) grid on