*!

wjtest: Wald test of coefficients in cointegrating relationships

*! version 2.0 PJoly 07apr2002
* v.2.0 PJoly 07apr2002 updated to version 7 + misc
* v.1.0 PJoly 11jun2001 wcotest updated to version 6
* code taken from wcotest v.2.0 (Ken Heinecke, 2/22/93, sts9: STB-21)
program define wjtest, rclass
version 7
if "`e(cmd)'" != "johans" { error 301 }
syntax varlist(min=1 ts), [ Cirel(int 1) ]
tempname B BPK D I ID IDlI IKvvK _J K KBDBK KP KPB KPBD KPv
tempname KvvK _K lambda NBETA stat v vPK TEVL
mat `NBETA' = e(NBP)'
local vlist : rownames `NBETA'
local nv : word count `vlist'
local nvar : word count `varlist'
if `nvar'>=`nv' {
di as err "varlist must contain fewer variables than " _c
di as err "depvarlist of -johans ...-"
exit 198
}
if `cirel'>`nv' {
di as err "cir() invalid, can't have more cointegrating " _c
di as err "relationships than equations"
exit 198
}
/* Now create a list of the variables in the model that are NOT being
tested */
local clist "`vlist'"
foreach var of local varlist {
local clist : subinstr local clist "`var'" "", word all
/*
*/ count(local any)
if !`any' {
di as err "varlist must be a subset of depvarlist " _c
di as err "of -johans ...-"
exit 198
}
}
mat `K' = I(`nv')
mat colnames `K' = `vlist'
mat rownames `K' = `vlist'
/* Create restriction matrix */
foreach var of local varlist {
mat `_K' = `K'[.,"`var'"]
mat `_J' = (nullmat(`_J'),`_K')
}
mat `K' = `_J'
/* Calculate Wald squared statistic (J&J Oxford Bulletin 52,2 1990) */

mat `B' = `NBETA'[.,1..`cirel']

mat `KP' = `K''
mat `KPB' = `KP'*`B'
mat `BPK' = `KPB''
mat `I' = I(`cirel')
mat `TEVL' = e(TEVL)
mat `lambda' = `TEVL'[1..`cirel',.]
mat `D' = diag(`lambda')
mat `ID' = inv(`D')
mat `IDlI' = `ID'-`I'
mat `D' = inv(`IDlI')
mat `KPBD'=`KPB'*`D'
mat `KBDBK' = `KPBD'*`BPK'
local ncv = `cirel'+1
mat `v' = `NBETA'[.,`ncv'...]
mat `KPv' = `KP'*`v'
mat `vPK' = `KPv''
mat `KvvK' = `KPv'*`vPK'
mat `IKvvK' = inv(`KvvK')
mat `stat' = `KBDBK' * `IKvvK'
ret sca df = `cirel'*`nvar'
ret sca wald = e(N) * trace(`stat')
ret sca p_wald = chiprob(`return(df)',`return(wald)')
di _n as txt "Cointegration: Wald test"
*/
_col(40) "chi2(" as res
`return(df)'
*/
as txt ") = "
as res %6.2g `return(wald)'
di as txt _col(40) "Prob > chi2 = " as res %4.3f `return(p_wald)'
end

/*
/*