I'm tring the functions to check the cointegration of a matrix.
I'm using **Phillips & Ouliaris Cointegration Test**
The function in *tseries* package is **po.test** and **ca.po** in *urca*
The results with **URCA** are:
> ca.po(prices, demean='none')
########################################
# Phillips and Ouliaris Unit Root Test #
########################################
Test of type Pu
detrending of series none
Call:
lm(formula = z[, 1] ~ z[, -1] - 1)
Residuals:
Min 1Q Median 3Q Max
-7.4960 -0.2912 0.7116 1.4530 3.3962
Coefficients:
Estimate Std. Error t value Pr(>|t|)
z[, -1] 0.559705 0.004678 119.6 <2e-16 ***
---
Signif. codes: 0 ?***? 0.001 ?**? 0.01 ?*? 0.05 ?.? 0.1 ? ? 1
Residual standard error: 1.73 on 749 degrees of freedom
Multiple R-squared: 0.9503, Adjusted R-squared: 0.9502
F-statistic: 1.431e+04 on 1 and 749 DF, p-value: < 2.2e-16
Value of test-statistic is: 12.9648
Critical values of Pu are:
10pct 5pct 1pct
critical values 20.3933 25.9711 38.3413
The result with TSERIES are:
> po.test(prices, demean=FALSE)
Phillips-Ouliaris Cointegration Test
data: prices
Phillips-Ouliaris standard = -25.6421, Truncation lag parameter = 7,
p-value = 0.01
Warning message:
In po.test(prices, demean = FALSE) : p-value smaller than printed
p-value
As you can see I'm testing the same matrix (prices).
How is it possible that URCA tells there is **NO** cointegration and TSERIES
**YES** ??
Prices max it's a simple matrix with two columns (stock1 - stock2), take a
look to an extract of that.
1 3.065448 5.244870
2 3.094924 5.806821
3 2.873858 5.647601
4 3.205457 6.190820
5 3.315990 6.453064
6 3.168612 6.865161
7 3.271777 7.230428
Thank you
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