[R] Cointegration

Adrian Trapletti a.trapletti at bluewin.ch
Wed Nov 5 12:52:11 CET 2003

>In tseries, look for ?adf.test & ?pp.test.
These are standard unit-root tests and can only be used to test for 
cointegration indirectly. And then the critical values have to be 
adapted. A direct test for cointegration is po.test from tseries.

>-----Original Message-----
>From: r-help-bounces at stat.math.ethz.ch
>[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Erin Hodgess
>Sent: Wednesday, November 05, 2003 8:20 AM
>To: r-help at stat.math.ethz.ch
>Subject: [R] Cointegration
>Do any packages exist for cointegration, please?
No. However, it is pretty simple to implement the Engle-Granger two-step 
procedure by using lm, embed, and maybe arima, together with one of the 
mentioned tests.

>Do we need them, if the answer to the previous is no, please?
It would be nice to have one, sure. In particular, the Johansen procedures.

>mailto: hodgess at gator.uhd.edu
>R-help at stat.math.ethz.ch mailing list

Dr. Adrian Trapletti
Trapletti Statistical Computing
Wildsbergstrasse 31, 8610 Uster
Phone & Fax : +41 (0) 1 994 5631
Mobile : +41 (0) 76 370 5631
Email : mailto:a.trapletti at bluewin.ch
WWW : http://trapletti.homelinux.com

More information about the R-help mailing list