求助用过林光平GPE2做过johansen test的GAUSS高人
我按照林光平给出的程序做,运行环境GAUSS 6.0,code如下
/*
** cointegration test
** johansen approach
*/
use gpe2;
output file = gpe\outputjo reset;
load z[1286,3] = gpe\set1cu.txt;
F = z[462:1286,2];
S = z[462:1286,3];
ns = { "F", "S" };
data = F~S; @ data matrix for cointegration test @
call reset;
_rstat = 1;
_method = 3;
_dlags = 3; @ find the proper order p @
call estimate (data,0); @ for VAR(p) model estimation @
@ johansen cointegration test based on VAR(3) model @
call johansen (data,3,2); @ model with trend drift @
call johansen (data,3,1); @ model with drift only @
call johansen (data,3,0); @ model with no drift @
end;
# include gpe\johansen.gpe ;
运算结果总是 (0):error G0008: '# include gpe\johansen.gpe': Syntax error
搞不清楚语法错误出在哪儿,请教..........................