{"id":50274385,"url":"https://github.com/beliavsky/vector-error-correction","last_synced_at":"2026-05-27T19:02:37.985Z","repository":{"id":344428984,"uuid":"1181788443","full_name":"Beliavsky/Vector-Error-Correction","owner":"Beliavsky","description":"Simulate and fit from Vector Error Correction (VECM) models for cointegrated time series using the Johansen method","archived":false,"fork":false,"pushed_at":"2026-03-14T18:06:46.000Z","size":38,"stargazers_count":0,"open_issues_count":0,"forks_count":0,"subscribers_count":0,"default_branch":"main","last_synced_at":"2026-03-15T02:55:23.698Z","etag":null,"topics":["cointegration","econometrics","error-correction-model","fortran","multivariate-time-series","multivariate-time-series-analysis","simulation","statistics","time-series-analysis","vecm","vector-error-correction-model"],"latest_commit_sha":null,"homepage":"","language":"Fortran","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"mit","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/Beliavsky.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":null,"funding":null,"license":"LICENSE","code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null,"dei":null,"publiccode":null,"codemeta":null,"zenodo":null,"notice":null,"maintainers":null,"copyright":null,"agents":null,"dco":null,"cla":null}},"created_at":"2026-03-14T16:17:42.000Z","updated_at":"2026-03-14T18:09:22.000Z","dependencies_parsed_at":null,"dependency_job_id":null,"html_url":"https://github.com/Beliavsky/Vector-Error-Correction","commit_stats":null,"previous_names":["beliavsky/vector-error-correction"],"tags_count":null,"template":false,"template_full_name":null,"purl":"pkg:github/Beliavsky/Vector-Error-Correction","repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/Beliavsky%2FVector-Error-Correction","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/Beliavsky%2FVector-Error-Correction/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/Beliavsky%2FVector-Error-Correction/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/Beliavsky%2FVector-Error-Correction/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/Beliavsky","download_url":"https://codeload.github.com/Beliavsky/Vector-Error-Correction/tar.gz/refs/heads/main","sbom_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/Beliavsky%2FVector-Error-Correction/sbom","scorecard":null,"host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":286080680,"owners_count":33579668,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2026-05-26T15:22:16.424Z","status":"online","status_checked_at":"2026-05-27T02:00:06.184Z","response_time":53,"last_error":null,"robots_txt_status":"success","robots_txt_updated_at":"2025-07-24T06:49:26.215Z","robots_txt_url":"https://github.com/robots.txt","online":true,"can_crawl_api":true,"host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["cointegration","econometrics","error-correction-model","fortran","multivariate-time-series","multivariate-time-series-analysis","simulation","statistics","time-series-analysis","vecm","vector-error-correction-model"],"created_at":"2026-05-27T19:02:31.353Z","updated_at":"2026-05-27T19:02:37.973Z","avatar_url":"https://github.com/Beliavsky.png","language":"Fortran","funding_links":[],"categories":[],"sub_categories":[],"readme":"# Vector-Error-Correction\nSimulate and fit from Vector Error Correction (VECM) models for cointegrated time series using the [Johansen method](https://academic.oup.com/book/27916). For\n\n```fortran\nprogram xvecm_rank_select\n! Simulate a VECM, compute the Johansen trace and max-eigenvalue rank\n! statistics, estimate critical values internally by Monte Carlo for\n! ranks 0 through n-1, and report the estimated cointegration rank.\n```\nsample output is\n```\n#obs #col: 1500 4\n\nnumber of Monte Carlo replications per null rank = 2000\ncritical-value quantile =   0.9500\n\njohansen eigenvalues\n    0.287478     0.129449     0.001799     0.000222\n\nMonte Carlo trace critical values for h0: rank \u003c= 0, 1, ..., n-1\n   41.033639    24.300203    12.765328   158.320284\n\nMonte Carlo max-eigenvalue critical values for h0: rank = 0, 1, ..., n-1\n   24.603392    17.420267    11.609917   158.320284\n\ntrace test decisions\nr0        statistic      crit_value     decision\n  0     718.434880      41.033639   reject\n  1     210.695064      24.300203   reject\n  2       3.029339      12.765328   fail to reject\n  3       0.331884     158.320284   fail to reject\n\nmax-eigenvalue test decisions\nr0        statistic      crit_value     decision\n  0     507.739816      24.603392   reject\n  1     207.665725      17.420267   reject\n  2       2.697455      11.609917   fail to reject\n  3       0.331884     158.320284   fail to reject\n\nestimated rank by trace test = 2\nestimated rank by max-eigenvalue test = 2\ntrue rank used in simulation = 2\n```\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fbeliavsky%2Fvector-error-correction","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fbeliavsky%2Fvector-error-correction","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fbeliavsky%2Fvector-error-correction/lists"}