%% Test Multiple Series for Cointegration Using jcitest
% Load data on term structure of interest rates in Canada:

load Data_Canada
Y = Data(:,3:end);
names = series(3:end);
plot(dates,Y)
legend(names,'location','NW')
grid on

%
% Test for cointegration:

[h,pValue,stat,cValue,mles] = jcitest(Y,'model','H1');
h,pValue

%
% Plot estimated cointegrating relations B^\prime y_{t - 1} + c_0:

YLag = Y(2:end,:);
T = size(YLag,1);
B = mles.r2.paramVals.B;
c0 = mles.r2.paramVals.c0;  
plot(dates(2:end),YLag*B+repmat(c0',T,1))
grid on

% Copyright 2015 The MathWorks, Inc.