?In the following analysis, the cointegration rank is known and here -by 
?assumption- equal to 2. In general, this can be tested by the program 
?given above. This part tests the validity of same restrictions on all 
?cointegrating vectors and provides the estimation of the model under the 
?null. The application below tests, f.e., whether the coeffients of y1 and 
?y2 are equal and have opposite signs in the r=2 cointegrating 
?relationships.

.
.
. (same regressions as above)

mat soo = soo/t1;
mat sok = sok/t1;
mat sko = sko/t1;
mat skk = skk/t1;

freq n;
smpl 1 3;
load x1; 1,-1,0;
load x2; 0, 0,1;
mmake h x1 x2;
mat hskk = h'skk*h;

mat cho = chol(hskk);
mat chot = cho';
mat chotinv = chot";
mat sooinv = soo";
mat choinv = cho";
mat b = chotinv*h'sko*sooinv*sok*h*choinv;

mform(type=sym) b;
mat eigen = eigval(b);
mat vec = eigvec(b);
mat vectors = choinv*vec;
mat loadings = sok*h*vectors;

freq n;
set n=2;
smpl 1 n;
unmake eigen eigs;
unmake eigen eigens;
sort (reverse) eigs;
print eigs eigens vectors loadings;

ll = log(1-eigs);
set j=1;
dot 0-1;
smpl j n;
msd ll;
set lr. = -t1*@sum;
set j=j+1;
enddot;

print lr0 lr1;