[R] MacKinnon critical value
Pfaff, Bernhard Dr.
Bernhard_Pfaff at fra.invesco.com
Fri May 6 09:39:02 CEST 2011
Hello Lee,
in addition to David's answer, see: ?MacKinnonPValues in package 'urca' (CRAN and R-Forge).
Best,
Bernhard
> -----Ursprüngliche Nachricht-----
> Von: r-help-bounces at r-project.org
> [mailto:r-help-bounces at r-project.org] Im Auftrag von David Winsemius
> Gesendet: Freitag, 6. Mai 2011 04:46
> An: Lee Schulz
> Cc: R-help at r-project.org
> Betreff: Re: [R] MacKinnon critical value
>
>
> On May 5, 2011, at 9:10 PM, Lee Schulz wrote:
>
> > Hello,
> >
> >
> >
> > I am doing an Engle Granger test on the residuals of two I(1)
> > processes.
> > I would like to get the MacKinnon (1996) critical value,
> say at 10%.
> > I have 273 observations with 5 integrated explanatory
> variables , so
> > that k=4. Could someone help me with the procedure in R?
>
> See if this helps:
>
> http://search.r-project.org/cgi-bin/namazu.cgi?query=Engle+Gra
nger+mackinnon&max=100> &result=normal&sort=score&idxname=functions&idxname=Rhelp08&id
xname=Rhelp10&idxname=Rhelp02
>
> --
> David Winsemius, MD
> West Hartford, CT
>
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