[R] Finding cointegration relations in a VAR(1)

[Pfaff, Bernhard Dr.]

>Von: r-help-bounces at r-project.org 
>[mailto:r-help-bounces at r-project.org] Im Auftrag von 
>Severine.Gaille at unil.ch
>Gesendet: Donnerstag, 4. Juni 2009 01:43
>An: R-help at stat.math.ethz.ch
>Betreff: [R] Finding cointegration relations in a VAR(1)
>
>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?
>

hello Severine,

the lag argument refers to the level-VAR. This means that you end up
with one lag of the endoegnous variables in your VECM. In case you do
want to specify a VECM without any lagged endogenous variables, you have
to calculate the reduced rank regressions by hand and derive the
relevant tests from there. You can partly employ the code in ca.jo() in
order to do so. 

Best,
Bernhard

>Thank you very much for your help!
>
>Have a nice day,
>
>Severine Gaille
>
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