[R] cointegration

[Manoj - Hachibushu Capital]

See library(tseries) & library(urca).

 
Lib tseries has cointegration test for ADF and PO, whereas the newly
added urca package has functions for Johansen & VECM test.

Cheers

Manoj


-----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: Tuesday, May 04, 2004 12:59 PM
To: r-help at stat.math.ethz.ch
Subject: [R] cointegration

Dear R People:

Is there a function for cointegration in any of the libraries, please?

for R Windows, please?

thanks,
Erin Hodgess
Associate Professor
Department of Computer and Mathematical Sciences
University of Houston - Downtown
mailto: hodgess at gator.uhd.edu

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