[R] cointegration analysis

Dorina LAZAR dlazar at econ.ubbcluj.ro
Wed Aug 8 18:45:04 CEST 2007


I tried to use urca package (R) for cointegration analysis. The data
matrix to be investigated for cointegration contains 8 columns
(variables). Both procedures, Phillips & Ouliaris test and Johansen's
procedures give errors ("error in evaluating the argument 'object' in
selecting a method for function 'summary'" respectiv "too many
variables, critical values cannot be computed”). What can I do?

With regards,

Dorina LAZAR
Department of Statistics, Forecasting, Mathematics
Babes Bolyai University, Faculty of Economic Science
Teodor Mihali 58-60, 400591 Cluj-Napoca, Romania

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