[R] cointegration, changing time span, incorrect results

phillen phlentner at gmail.com
Thu Jun 14 20:01:35 CEST 2012


problem solved. if one adjusts in r the time span the way i did it, r really
only has data available for this time span. to the opposite in eviews. if
one sets in eviews a time span via adjusting the sample size, it still uses
the observations outside the sample size i.e. in cointegrationn tests where
lags are used the lags for the first observations are taken from outside the
sample size.

kind regards

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