MALCOLM Short History
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.
© 1996-99 Rocco Mosconi. All Rights Reserved.