Since the feedback to my first post was not "extremely euphoric" 
, I'd like to specify two possible strategies to solve my problem:
(1) Is there perhaps a command to transform the "result table" of a test displayed by STATA into a matrix ( which could then be processed by MATA...) ? For expample, "varsoc" provides the result table as a matrix called "r(stats)", which can be overtaken to MATA with the help of "st_matrix("r(stats)")".
(2) Is there a possibility to manipulate the orginal source code of "vecrank" to store the 5% critical values in a matrix?
The source code of "vecrank" looks like this:
, I'd like to specify two possible strategies to solve my problem:(1) Is there perhaps a command to transform the "result table" of a test displayed by STATA into a matrix ( which could then be processed by MATA...) ? For expample, "varsoc" provides the result table as a matrix called "r(stats)", which can be overtaken to MATA with the help of "st_matrix("r(stats)")".
(2) Is there a possibility to manipulate the orginal source code of "vecrank" to store the 5% critical values in a matrix?
The source code of "vecrank" looks like this:
Code:
*! version 1.1.0 26feb2007
program define vecrank, eclass sort byable(recall)
version 8.2
if replay() {
if "`e(cmd)'" != "vecrank" {
di as err "{cmd:vecrank} results not found"
exit 301
}
syntax , [level99 levela noTRace max ic]
_vec_dreduced
Disp1 , `trace' `max' `ic' `level99' `levela'
exit
}
local m1 = _N
syntax varlist(ts numeric min=2) [if] [in] ///
[ , ///
Trend(string) ///
LAgs(numlist integer max=1 >0 <`m1') ///
SIndicators(varlist numeric) ///
Seasonal /// undocumented
noTRace ///
Max ///
Ic ///
level99 ///
levela ///
noreduce ///
]
marksample touse
tempname oldest oldsmp
_vecu `varlist' if `touse', trend(`trend') lags(`lags') ///
sindicators(`sindicators') `seasonal' `trace' ///
`max' `ic' `level99' `levela' `reduce'
ereturn local cmdline `"vecrank `0'"'
capture drop _trend
capture drop $S_DROP_sindicators
capture macro drop S_DROP_sindicators
Disp1 , `trace' `max' `ic' `level99' `levela'
end
program define Disp1
syntax , [level99 levela noTRace max ic]
if "`level99'" == "" & "`levela'" == "" {
local disp95 disp95
local disp99 nodisp99
}
if "`level99'" != "" & "`levela'" == "" {
local disp95 nodisp95
local disp99 disp99
}
if "`levela'" != "" {
local disp95 disp95
local disp99 disp99
}
local nhead head
if "`trace'" == "" {
Disp trace head noic `disp95' `disp99'
local nhead noheader
}
if "`max'" != "" {
Disp max `nhead' noic `disp95' `disp99'
local nhead noheader
}
if "`ic'" != "" {
Disp notest `nhead' ic nodisp95 nodisp99
}
end
program define Disp
local test `1'
local head `2'
local ic `3'
local disp95 `4'
local disp99 `5'
local tmin : di `e(tsfmt)' e(tmin)
local tmax : di `e(tsfmt)' e(tmax)
if "`disp99'" == "disp99" {
local selrank 99
}
else {
local selrank 95
}
if "`disp95'" == "disp95" & "`disp99'" == "disp99" {
local dboth dboth
local selr99 99
local selr95 95
}
// test is test name, must be either "max", "trace", or "notest"
// head determines printing out of header, print
tempname max vals cv95 cv99 testv llv parms
_vecgetcv `test'
mat `cv95' = r(cv95)
mat `cv99' = r(cv99)
if "`dboth'" == "" {
if "`disp95'" == "disp95" {
local cv `cv95'
local dlevel 5
}
else {
local cv `cv99'
local dlevel 1
}
}
mat `vals' = e(lambda)
mat `llv' = e(ll)
mat `parms' = e(k_rank)
if "`test'" == "max" {
mat `testv' = e(max)
local tname "Max-Eigenvalue"
}
else {
mat `testv' = e(trace)
local tname "Trace"
}
if "`test'" == "max" {
local test " max"
}
local T = e(N)
local n = e(k_eq)
local trendtype "`e(trend)'"
_vecgtn `trendtype'
local trend = r(trendnumber)
local ttext = "`r(ttext)'"
if "`head'" == "head" {
di
di as txt "{center 79:Johansen tests for cointegration}"
di as txt "`ttext'{col 57}Number of obs = " ///
as res _col(6) %7.0f `T'
di as txt "Sample: " as res ///
`"`=strtrim(`"`tmin'"')'"' ///
" - " ///
`"`=strtrim(`"`tmax'"')'"' ///
as txt "{col 66}Lags = " as res %7.0f e(n_lags)
di as txt "{hline 79}"
}
if "`ic'" != "ic" {
if "`dboth'" != "" {
di as txt "maximum{col 46}`test'"/*
*/ "{col 56}5% critical{col 69}1% critical"
di as txt " rank{col 11}parms{col 23}LL{col 32}eigenvalue"/*
*/ "{col 44}statistic{col 59}value{col 72}value"
}
else {
di as txt "{col 58}`dlevel'%"
di as txt "maximum{col 46}`test'"/*
*/ "{col 55}critical"
di as txt " rank{col 11}parms{col 23}LL{col 32}eigenvalue"/*
*/ "{col 44}statistic{col 57}value"
}
forvalues i=0/`n' {
local im1 = `i'-1
local ip1 = `i'+1
if "`test'" == "trace" {
if e(k_ce`selrank') == `i' {
local rs "{help vecrankstar##|_new:*}"
}
else {
local rs
}
if "`selr99'" != "" {
if e(k_ce99) == `i' {
local rs99 "{help vecrankstar##|_new:*1}"
}
else {
local rs99
}
}
if "`selr95'" != "" {
if e(k_ce95) == `i' {
local rs95 "{help vecrankstar##|_new:*5}"
}
else {
local rs95
}
}
}
else {
local rs
local rs99
local rs95
}
if `i' == 0 {
if "`dboth'" != "" {
di _col(3) as res %3.0f `i' _col(12) %-4.0f `parms'[1,`ip1'] /*
*/ _col(19) %10.9g `llv'[1,`ip1'] /*
*/ _col(44) %9.4f `testv'[1,`ip1'] "`rs99'`rs95'" /*
*/ _col(57) %7.2f `cv95'[`n'-`ip1'+1,`trend'] /*
*/ _col(70) %7.2f `cv99'[`n'-`ip1'+1,`trend']
}
else {
di _col(3) as res %3.0f `i' _col(12) %-4.0f `parms'[1,`ip1'] /*
*/ _col(19) %10.9g `llv'[1,`ip1'] /*
*/ _col(33) %8.5f `vals'[1,`i'] /*
*/ _col(44) %9.4f `testv'[1,`ip1'] "`rs'" /*
*/ _col(55) %7.2f `cv'[`n'-`ip1'+1,`trend']
}
}
if `i' > 0 & `i' < `n' {
if "`dboth'" != "" {
di _col(3) as res %3.0f `i' /*
*/ _col(12) %-4.0f `parms'[1,`ip1'] /*
*/ _col(19) %10.9g `llv'[1,`ip1'] /*
*/ _col(33) %8.5f `vals'[1,`i'] /*
*/ _col(44) %9.4f `testv'[1,`ip1'] "`rs99'`rs95'" /*
*/ _col(57) %7.2f `cv95'[`n'-`ip1'+1,`trend'] /*
*/ _col(70) %7.2f `cv99'[`n'-`ip1'+1,`trend']
}
else {
di _col(3) as res %3.0f `i' /*
*/ _col(12) %-4.0f `parms'[1,`ip1'] /*
*/ _col(19) %10.9g `llv'[1,`ip1'] /*
*/ _col(33) %8.5f `vals'[1,`i'] /*
*/ _col(44) %9.4f `testv'[1,`ip1'] "`rs'" /*
*/ _col(55) %7.2f `cv'[`n'-`ip1'+1,`trend']
}
}
if `i' == `n' {
di _col(3) as res %3.0f `i' /*
*/ _col(12) %-4.0f `parms'[1,`ip1'] /*
*/ _col(19) %10.9g `llv'[1,`ip1'] /*
*/ _col(33) %8.5f `vals'[1,`i']
}
}
}
else {
di as txt "maximum"
di as txt " rank{col 11}parms{col 23}LL" /*
*/ "{col 32}eigenvalue{col 47}SBIC"/*
*/"{col 58}HQIC{col 69}AIC"
tempname bic hqic aic
mat `bic' = e(sbic)
mat `hqic' = e(hqic)
mat `aic' = e(aic)
forvalues i=0/`n' {
local im1 = `i'-1
local ip1 = `i'+1
if e(k_cesbic) == `i' {
local rb "*"
}
else {
local rb
}
if e(k_cehqic) == `i' {
local rh "*"
}
else {
local rh
}
if `i' == 0 {
di _col(3) as res %3.0f `i' /*
*/ _col(12) %-4.0f `parms'[1,`ip1'] /*
*/ _col(19) %10.9g `llv'[1,`ip1'] /*
*/ _col(44) %9.8g `bic'[1,`ip1'] "`rb'" /*
*/ _col(55) %9.8g `hqic'[1,`ip1'] "`rh'" /*
*/ _col(66) %9.8g `aic'[1,`ip1']
}
if `i' > 0 & `i' < `n' {
di _col(3) as res %3.0f `i' /*
*/ _col(12) %-4.0f `parms'[1,`ip1'] /*
*/ _col(19) %10.9g `llv'[1,`ip1'] /*
*/ _col(33) %8.5f `vals'[1,`i'] /*
*/ _col(44) %9.8g `bic'[1,`ip1'] "`rb'" /*
*/ _col(55) %9.8g `hqic'[1,`ip1'] "`rh'" /*
*/ _col(66) %9.8g `aic'[1,`ip1']
}
if `i' == `n' {
di _col(3) as res %3.0f `i' /*
*/ _col(12) %-4.0f `parms'[1,`ip1'] /*
*/ _col(19) %10.9g `llv'[1,`ip1'] /*
*/ _col(33) %8.5f `vals'[1,`i'] /*
*/ _col(44) %9.8g `bic'[1,`ip1'] "`rb'" /*
*/ _col(55) %9.8g `hqic'[1,`ip1'] "`rh'" /*
*/ _col(66) %9.8g `aic'[1,`ip1']
}
}
}
di as txt "{hline 79}"
end
exit
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