?This part tests, whether a fully specified relation is in the 
?cointegration space and provides the estimation of the model under the 
?null. The application below tests, f.e., whether y3 is stationary, i.e. 
?contains no unit root. The testing requires the calculation of two 
?eigenvalue problems.

.
.
. (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; 0,0,1;
mmake h x1;
print h;

mat hskk = h'skk*h;
mat cho = chol(hskk);
mat chot = cho';
mat chotinv = cho";
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=1;
smpl 1 n;
unmake eigen eigs;
unmake eigen eigens;
sort (reverse) eigs;
print eigs eigens vectors loadings;

ll = log(1-eigs);
msd ll;
set lr0 = -t1*@sum;

print lr0;

mat hh = h'skk*h;
mat hhinv = hh";
mat sooh = soo-sok*h*hhinv*h'sko;
mat sokh = sok-sok*h*hhinv*h'skk;
mat skoh = sko-skk*h*hhinv*h'sko;
mat skkh = skk-skk*h*hhinv*h'skk;
mat soohhinv = sooh"; 

mform(type=sym) skkh;
mat mu = eigval(skkh);
print mu;
mat wvec = eigvec(skkh);
print wvec;
smpl 1 7;
unmake mu mu1;
sort(reverse) mu1;
print mu1;
mueig = mu1**(-0.5);
print mueig;

unmake wvec v1 v2 v3 v4 v5 v6 v7;
mmake wmatrix  v1 v2 v3 v4 v5 v6;
print wmatrix;

mmake ei mueig;
mform (nrow=6,ncol=1) mueigenw=ei;
mform (type=diag,nrow=6) diaeig=mueigenw;
mat cm = wmatrix*diaeig;

mat test = cm'skoh*soohhinv*sokh*cm;
mform (type=sym) test;
mat lam = eigval(test);
smpl 1 6;
unmake lam lamda;
sort(reverse) lamda;
print lamda;