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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

Answers (2)

Andreas Goser
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.
  3 Comments
Andreas Goser
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.
Simon Christensen
Simon Christensen on 7 Feb 2024
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
Simon Christensen on 7 Feb 2024
Also in 'Model — Johansen form of VEC(q) model deterministic terms', is no such possibility to include dummies.

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