[R] Trace values in the function ca.jo()

[Michael Weylandt]

This is somewhat technical and I'd advise you post to R-Sig-Finance and cc the package maintainer, Dr Pfaff, directly. Use maintainer("urca") to get his email. 

Cheers,
Michael

On Aug 21, 2012, at 4:48 AM, Rmillan <emiln_leifsson at hotmail.com> wrote:

> Hi all R users,
> 
> I'm trying to replicate the same results that are given in a published
> article after been granted
> the same data that the authors use.
> I'm having problems to determine the cointegration rank of my data set using
> the Johnasen's trace test.
> This trace test is already programmed in the package ur.ca and can be found
> in the function 
> ca.jo().
> After I run the ca.jo() function on my data set I get the following output:
> 
> Values of teststatistic and critical values of test:
> 
>    test    10pct    5pct    1pct
> r<=10    9.71    7.52    9.24    12.97
> r<=9    24.18    17.85    19.96    24.6
> r<=8    45.16    32    34.91    41.07
> r<=7    74.12    49.65    53.12    60.16
> r<=6    113.96    71.86    76.07    84.45
> r<=5    158.58    97.18    102.14    111.01
> r<=4    207.95    126.58    131.7    143.09
> r<=3    278.29    159.48    165.58    177.2
> r<=2    361.34    196.37    202.92    215.74
> r<=1    481.09    236.54    244.15    257.68
> r=0    626.23    282.45    291.4    307.64
> 
>> From this output I would conclude that the cointegration rank is either 9 or
> 10. 
> If I run the same test in Stata I get completly different numbers,
> especially for my test values. These values
> actually correspond to the values the authors get in the article. From that
> output I would conclude
> that the conintegration rank is either 6 or 7, which would give me completly
> different result
> when estimating the VECM model then if I use cointegration rank equal to 9
> or 10.
> Can anyone explain why this difference occurs?
> Thanks in advance.
> 
> Best regards,
> 
> Emil
> 
> 
> 
> 
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