R help - Aug 2007 - cointegration analysis

Hello,

I tried to use urca package (R) for cointegration analysis. The data
matrix to be investigated for cointegration contains 8 columns
(variables). Both procedures, Phillips & Ouliaris test and Johansen's
procedures give errors ("error in evaluating the argument 'object'
in
selecting a method for function 'summary'" respectiv "too many
variables, critical values cannot be computed?). What can I do?

With regards,

Dorina LAZAR
Department of Statistics, Forecasting, Mathematics
Babes Bolyai University, Faculty of Economic Science
Teodor Mihali 58-60, 400591 Cluj-Napoca, Romania

i got this error, i dont remember what was the cause, but what i did work 
around was that see the example in the manual pages of the ca.po... etc 
and try to make your date in the same format. also just see whether the 
functions will take so many columns as a parameter. I have not checked it. 
Lastly see whether the data what you are using is not having any missing 
values or number in 'text' format


HTH



Dorina LAZAR <dlazar@econ.ubbcluj.ro> 
Sent by: r-help-bounces@stat.math.ethz.ch
08/08/2007 10:15 PM

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Subject
[R] cointegration analysis







Hello,

I tried to use urca package (R) for cointegration analysis. The data
matrix to be investigated for cointegration contains 8 columns
(variables). Both procedures, Phillips & Ouliaris test and Johansen's
procedures give errors ("error in evaluating the argument 'object'
in
selecting a method for function 'summary'" respectiv "too many
variables, critical values cannot be computed”). What can I do?

With regards,

Dorina LAZAR
Department of Statistics, Forecasting, Mathematics
Babes Bolyai University, Faculty of Economic Science
Teodor Mihali 58-60, 400591 Cluj-Napoca, Romania

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Hello Dorina,

if you apply ca.jo to a system with more than five variables, a
*warning* is issued that no critical values are provided. This is not an
error, but documented in ?ca.jo. In the seminal paper of Johansen, only
cv for up to five variables are provided. Hence, you need to refer to a
different source of cv in order to determine the cointegration rank.

Best,
Bernhard
>
>
>Hello,
>
>I tried to use urca package (R) for cointegration analysis. The data
>matrix to be investigated for cointegration contains 8 columns
>(variables). Both procedures, Phillips & Ouliaris test and
Johansen's
>procedures give errors ("error in evaluating the argument
'object' in
>selecting a method for function 'summary'" respectiv "too
many
>variables, critical values cannot be computed"). What can I do?
>
>With regards,
>
>Dorina LAZAR
>Department of Statistics, Forecasting, Mathematics
>Babes Bolyai University, Faculty of Economic Science
>Teodor Mihali 58-60, 400591 Cluj-Napoca, Romania
>
>______________________________________________
>R-help at stat.math.ethz.ch mailing list
>https://stat.ethz.ch/mailman/listinfo/r-help
>PLEASE do read the posting guide 
>http://www.R-project.org/posting-guide.html
>and provide commented, minimal, self-contained, reproducible code.
>
*****************************************************************
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