The idea of a menu driven procedure to perform Johansen’s Maximum Likelihood cointegration analysis dates back to June 1989, when I first met Søren Johansen and Katarina Juselius at the CIDE (Centro Interuniversitario di Econometria) Econometrics Summer School in Bagni di Lucca, Italy. There, I had the opportunity to take a look at some RATS files written by Søren, implementing the eigenvalue routines. I started working at them, using some advanced RATS programming tools, and in few months I realised a prototype of the program, called JOHANSEN. Since then, a lot of new features have been added. In January 1991 the univariate analysis section was added. In September 1993 the name was changed to MALCOLM (Version 1), and a section for Structural VAR analysis was added, prepared by Gianni Amisano, Mario Seghelini and Michele Cesura based on Giannini (1992) and Amisano-Giannini (1997). MALCOLM 2 takes advantage of the new tools available in RATS, and adds more features, such as exogenous variables, intervention dummies and a forecasting section. Moreover, it provides capabilities for adding and dropping variables without quitting MALCOLM.