[R] Finding cointegration relations in a VAR(1)
Severine.Gaille at unil.ch
Severine.Gaille at unil.ch
Thu Jun 4 01:42:50 CEST 2009
Dear R people,
I am trying to find the cointegration relations in a VAR(1).
The ca.jo function conducts the Johansen procedure, but we
have to specify at least 2 lags. How should I do if I want
to include only one lag?
Thank you very much for your help!
Have a nice day,
Severine Gaille
_________________________
Ecole des HEC
Universite de Lausanne
CH-1015 Lausanne
Tel (+41 21) 692 33 76
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