[R] Cointegration

[Adrian Trapletti]

>
>
>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.

>
>Thanks,
>Erin
>mailto: hodgess at gator.uhd.edu
>
>______________________________________________
>R-help at stat.math.ethz.ch mailing list
>https://www.stat.math.ethz.ch/mailman/listinfo/r-help
>
best
Adrian

-- 
Dr. Adrian Trapletti
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