Johansen test with exogneous (dummy) variable Matlab
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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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Answers (2)
Andreas Goser
on 7 Feb 2024
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
on 7 Feb 2024
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.
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