GRETA
 
   
MALCOLM
(MAximum Likelihood COintegration analysis of Linear Models)
The theory and practice of cointegration analysis in RATS
by Rocco Mosconi
Short History
Structure
Manual
Requirements
Use
Price List and Order Form
Courses and Consulting
Contacts

 

 

MALCOLM 2.9 is a menu driven program written in RATS implementing, in a coherent environment, Johansen's I(1) maximum likelihood cointegration analysis, Johansen’s I(2) two steps cointegration analysis, Structural VAR analysis and univariate unit root analysis. The effort in MALCOLM is to make the most advanced features of cointegration as friendly as possible, so that the applied researcher can focus on the interpretative rather than technical aspects of the models. 

A summary of the main improvements of MALCOLM 2.9 with respect to the previous version is the following:
1. Svar analysis: common trends, historical decomposition of the cyclical components
2. Policy analysis, simulation and forecasting
3. “Save/load model” function of MALCOLM

GRETA Home
Malcolm is distribuited by GRETA 
Informations:  segreteria[at]greta[dot]it 

 

 

 


Copyright © 1996-99 Rocco Mosconi. All Rights Reserved.

 

 

About GRETA Aree di ricerca Prodotti & servizi

Home
What we do
Organization
Principal clients
Contacts
How to reach

Risk Management
Systemic Risk
Asset Allocation
Financial Portfolio Analysis & Evaluation
Option Pricing
Scenario Analysis
Statistical Research
Evaluation

Monthly Econometric Financial International Model - MEFIM
Econometric Financial Regional Model - MEFR
MEFIM Plus
Global Asset Model - GAM
GRETA Pension Fund Performance - GRETA-PFP
GRETA Regional Econometric Model - GREM
MALCOLM
Training

Eventi Pubblicazioni  
Sovereign Bond Markets Conferences
CREDIT Conferences
JAE 2005
Euromeeting

Recent pubblications
Old GRETA Working Papers
 

© Copyright. Tutti i diritti riservati. È vietata la riproduzione anche parziale.
Sito ottimizzato per Explorer 6.0 e succ. e Mozzilla Firefox 1.5, con risoluzione 1280 x 800
Normativa sulla privacy