# Replicate Johansen's analysis of Australian data in chapter 7
# of his 1995 book

open australia

# Normalize beta by the first row
set vecm_norm first

# initial cointegration analysis
coint2 2 lpau lpus le iau2 ius2 --seasonals

# unrestricted rank-2 VECM
vecm 2 2 lpau lpus le iau2 ius2 --seasonals --quiet

# weak exogeneity of US variables
restrict
  a[2] = 0
  a[5] = 0
end restrict --full --quiet

# test the hypothesis that the interest rate differential is 
# stationary, in context of the above alpha restriction
restrict
  b[1,1] = 0
  b[1,2] = 0
  b[1,3] = 0
  b[1,4] = 1
  b[1,5] = -1
  b[2,1] = 1
end restrict --full