Thank you for your comment! I've updated the blog to reflect this.

Also, it should be noted that since the last update of TSPDLIB, the bwl, ic, pmax, varm, and trimm arguments are all optional arguments. This allows you to call coint_ghansen using internal defaults for these parameters:

// Set fname to name of dataset
fname = "nelsonplosser.dta";

// Load three variables from the dataset
// and remove rows with missing values
coint_data = packr(loadd(fname, "sp500 + m + bnd"));

// Define y and x matrix
y = coint_data[., 1];
x = coint_data[., 2 3];

// Regime and trend shift
model = 4; 

// Perform cointegration test
{ ADF_min_gh, TBadf_gh, Zt_min_gh, TBzt_gh, Za_min_gh, TBza_gh, cvADFZt_gh, cvZa_gh } =
    coint_ghansen(y, x, model);

-

More information about the default values can be in the TSPDLIB documentation.

Best,
Erica

// To be specified
bwl=1;

trimm=0.1;

varm=1;

Best,
JS