Chilton, Alexander B [MSD]
2005-Dec-20 22:30 UTC
[R] Help with ca.jo and cajools (Johansen's Cointegration)
I am trying to run a conintegration analysis. I am a former user of S-Plus and understand the output of the coint and VECM output, but I am having trouble understanding the equivalent output in R. Here is what I ran> coint=ca.jo(data,constant=T,K=2,spec="longrun") > summary(coint)The first portion of the output that I did not understand [,1] [,2] [,3] y1 1.000000 1.000000 1.000000 y2 -1.114734 -2.461872 -2.216456 constant 1.364641 7.473149 7.331977>From this i think that y1 - 1.143*y2 + 1.36 ~ I(0)What i don't understand is where columns [,2] and [,3] come into play. Now i run the following:> cajools(coint)Call: lm(formula = z at Z0 ~ z at Z1 + z at ZK - 1) Coefficients: [,1] [,2] z at Z11 0.028114 0.065968 z at Z12 0.371630 0.183797 z at ZKy1 -0.011724 -0.002647 z at ZKy2 0.012282 0.001827 z at ZK -0.012430 0.001482 My understanding is that the specification of the VECM was as follows (with K=2): deltay1 = c1 + a1*(y1_t-1-b2*y2_t-1)+ phi11*lag(deltay1_t-1) + phi12*deltay2_t-1+e1 deltay2 = c2 + a2*(y1_t-1-b2*y2_t-1)+ phi21*lag(deltay1_t-1) + phi22*deltay2_t-1+e2 My guess is that Z11 and Z12 correspond to the above phis. That c1 and c1 correspond to ZK. That b2 is -1.11 from the step before? The rest, ZKy1 and ZKy2 I can't place. Please help, Alex