[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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