[R] cointegrating regression
adrian at olsen.ch
Fri Feb 16 09:33:36 CET 2001
> Date: Thu, 15 Feb 2001 15:48:38 +0100
> From: "Fredrik Berchtold"
> Subject: [R] cointegrating regression
> Hi all,
> Can I run a cointegrating regression, for example
> delta Xt=a1(Yt-1-cXt-1)+E1t
> delta Yt=-b1(Yt-1-cXt-1)+E2t
> with R were
> Xt and Yt are non stationary time series at t
> a,b,c are parameters and E1t and E2t are error terms at t.
> Yt-Xt is stationary
> Any suggestions are welcome.
> Best regards,
E.g., you can do that in three steps:
1. Test if x and y are cointegrated, e.g., using po.test() in tseries.
2. If cointegrated, run the regression r<-lm(y~x).
3. let z<-ts.union(diff(x),diff(y)) and xreg<-residuals(r),
This corresponds to the so called Engle-Granger two-step procedure.
Dr. Adrian Trapletti, Olsen & Associates Ltd.
Seefeldstrasse 233, CH-8008 Zürich, Switzerland
Phone: +41 (1) 386 48 47 Fax: +41 (1) 422 22 82
E-mail: adrian at olsen.ch WWW: http://www.olsen.ch
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