[R] cointegration analysis

Pfaff, Bernhard Dr. Bernhard_Pfaff at fra.invesco.com
Thu Aug 9 09:29:22 CEST 2007

Hello Dorina,

if you apply ca.jo to a system with more than five variables, a
*warning* is issued that no critical values are provided. This is not an
error, but documented in ?ca.jo. In the seminal paper of Johansen, only
cv for up to five variables are provided. Hence, you need to refer to a
different source of cv in order to determine the cointegration rank.


>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
>R-help at stat.math.ethz.ch mailing list
>PLEASE do read the posting guide 
>and provide commented, minimal, self-contained, reproducible code.
Confidentiality Note: The information contained in this mess...{{dropped}}

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