Any Ideas ? Will be highly appreciated.
A:
Assuming you mean this test, I think I found a library that will help you. Check out the Gnu Regression, Econometrics and Time-series Library.
Kristo
2010-05-13 18:19:19
Yes I meant the same test you have mentioned but GRETL is not my requirement. This is because it is a stand-alone program (meaning it doesn't offer any C++ API). GRETL is written in c itself, so there is a case of going into the code of GRETL to see how johansen test is implemented, but I am not sure if this is the right thing to do.
Faraz
2010-05-18 13:23:46
@Faraz, depending on how well the code is partitioned, you might be able to link it in easily. If your work will support the terms of GRETL's license, then there's no problem with simply reusing it.
Kristo
2010-05-18 19:21:39
I think GRETL's license doesn't permit me to reuse it for my purpose.By the way thanks for your help. And would appreciate if you have any other idea. Of course, I can implement it myself but that will take time and I want to avoid that.
Faraz
2010-05-19 08:02:39