Displaying 2 results from an estimated 2 matches for "conintegr".
2012 Aug 21
1
Trace values in the function ca.jo()
...om this output I would conclude that the cointegration rank is either 9 or
10.
If I run the same test in Stata I get completly different numbers,
especially for my test values. These values
actually correspond to the values the authors get in the article. From that
output I would conclude
that the conintegration rank is either 6 or 7, which would give me completly
different result
when estimating the VECM model then if I use cointegration rank equal to 9
or 10.
Can anyone explain why this difference occurs?
Thanks in advance.
Best regards,
Emil
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2005 Dec 20
0
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 out...