?This part belongs to short-run analysis. One have to determine those 
?variables, who react in order to re-establish the long-run, when there 
?are temporary deviations from steady-state. The application tests, f.e., 
?whether y1 is weakly exogenous in respect of the cointegration relations 
?and provides the estimation of the model under the null.

.
.
. (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; 1,0,0;
load x2; 0,1,0;
load x3; 0,0,1;

mmake a x2 x3;
mmake d x1;

mat h    = d'soo*d;
mat hinv = h";
mat saab = a'soo*a-a'soo*d*hinv*d'soo*a;
mat sakb = a'sok-a'soo*d*hinv*d'sok;
mat skab = sko*a-sko*d*hinv*d'soo*a;
mat skkb = skk-sko*d*hinv*d'sok;

mform(type=sym) skkb;
mat cho = chol(skkb);
mat chot = cho';
mat chotinv = chot";
mat saabinv = saab";
mat choinv = cho";
mat b = chotinv*skab*saabinv*sakb*choinv;

mform(type=sym) b;
mat eigen = eigval(b);
mat vec = eigvec(b);
mat vectors = choinv*vec;
mat ainv = (a'a)";
mat loadings = a*ainv*sakb*vectors; 

freq n;
set n=3;
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 0-2;
smpl j n;
msd ll;
set lr. = -t1*@sum;
set j=j+1;
enddot;