Current Version: 0.45
Current Release: 2 & 3
Download - Source Code
There are several differences between the MatLab code release and the MatLab stand-alone source release. Both releases are provided as MatLab m-files and both can be run from the MatLab prompt. However, the MatLab code release cannot be compiled into a stand-alone application, while the MatLab stand-alone source release can be compiled. The main reason for this difference is that the MatLab code release uses the MatLab function
In addition, the source release uses its own functions to (i) save graphics to files on the hard drive, (ii) print graphics, and (iii) edit graphics, etc. Not surprisingly, the code release is faster than the stand-alone source release when run from within MatLab and when data are read from a text file. otherwise they are on equal terms. A compiled stand-alone release is, however, faster than the code release. The stand-alone source release has much more flexible graphics editing tools than the MatLab code release. Generally, I would therefore also recommend using the source release rather than the MatLab code release if you intend to use the software within MatLab.
If you don't have any fun data to test the program with you can download monthly data on U.S. Treasury bills (1946M12-1987M2) 1-4 months from this page. You can chose between downloading the data in text format (hj-nor0.data.zip) and Lotus 1-2-3 format (hj-nor0.wk1.zip). These data are, e.g., used by Henrik Hansen and Søren Johansen in their study "Some Tests for Parameter Constancy in Cointegrated VAR-models" in Econometrics Journal from 1999. The Nyblom and fluctuation tests (for the non-zero eigenvalues) used in Structural VAR are based on results in that paper and have been verified against their results. You can download their paper from Henrik's homepage.
To launch the code, change directory to where you've unzipped the
NOTE: If you compile the source code on a different platform or under a different version of MatLab, e.g. version 6.x, please feel free to send me the executable (and the required MatLab libraries, mex-files, and fig files) and I will make them available from this site.
Last Updated: June 5, 2015