R help - May 2011 - MacKinnon critical value

Hello,

 

I am doing an Engle Granger test on the residuals of two I(1) processes.
I would like to get the MacKinnon (1996) critical value, say at 10%.  I
have 273 observations with 5 integrated explanatory variables , so that
k=4.  Could someone help me with the procedure in R?

 

Thank you


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On May 5, 2011, at 9:10 PM, Lee Schulz wrote:
> Hello,
>
>
>
> I am doing an Engle Granger test on the residuals of two I(1)  
> processes.
> I would like to get the MacKinnon (1996) critical value, say at  
> 10%.  I
> have 273 observations with 5 integrated explanatory variables , so  
> that
> k=4.  Could someone help me with the procedure in R?
See if this helps:

http://search.r-project.org/cgi-bin/namazu.cgi?query=Engle+Granger+mackinnon&max=100&result=normal&sort=score&idxname=functions&idxname=Rhelp08&idxname=Rhelp10&idxname=Rhelp02

-- 
David Winsemius, MD
West Hartford, CT