R help - Jun 2009 - Finding cointegration relations in a VAR(1)

Dear R people,

I am trying to find the cointegration relations in a VAR(1).
The ca.jo function conducts the Johansen procedure, but we
have to specify at least 2 lags. How should I do if I want
to include only one lag?

Thank you very much for your help!

Have a nice day,

Severine Gaille

_________________________

Ecole des HEC
Universite de Lausanne
CH-1015 Lausanne
Tel (+41 21) 692 33 76

>Von: r-help-bounces at r-project.org 
>[mailto:r-help-bounces at r-project.org] Im Auftrag von 
>Severine.Gaille at unil.ch
>Gesendet: Donnerstag, 4. Juni 2009 01:43
>An: R-help at stat.math.ethz.ch
>Betreff: [R] Finding cointegration relations in a VAR(1)
>
>Dear R people,
>
>I am trying to find the cointegration relations in a VAR(1).
>The ca.jo function conducts the Johansen procedure, but we
>have to specify at least 2 lags. How should I do if I want
>to include only one lag?
>
hello Severine,

the lag argument refers to the level-VAR. This means that you end up
with one lag of the endoegnous variables in your VECM. In case you do
want to specify a VECM without any lagged endogenous variables, you have
to calculate the reduced rank regressions by hand and derive the
relevant tests from there. You can partly employ the code in ca.jo() in
order to do so. 

Best,
Bernhard
>Thank you very much for your help!
>
>Have a nice day,
>
>Severine Gaille
>
>_________________________
>
>Ecole des HEC
>Universite de Lausanne
>CH-1015 Lausanne
>Tel (+41 21) 692 33 76
>
>______________________________________________
>R-help at r-project.org mailing list
>https://stat.ethz.ch/mailman/listinfo/r-help
>PLEASE do read the posting guide 
>http://www.R-project.org/posting-guide.html
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