[R] Johansen Test of Cointegration:How to access rows in R output

[Pfaff, Bernhard Dr.]

RTFM: help("ca.jo-class")

library(urca)
example(ca.jo)
class(sjf.vecm)
slotNames(sjf.vecm)
slot(sjf.vecm, "cval")
slot(sjf.vecm, "teststat")
slot(sjf.vecm, "V")
slot(sjf.vecm, "Vorg")

Best,
Bernhard

-----Ursprüngliche Nachricht-----
Von: R-help [mailto:r-help-bounces at r-project.org] Im Auftrag von Preetam Pal
Gesendet: Sonntag, 4. Oktober 2015 18:43
An: r-help at r-project.org
Betreff: [R] Johansen Test of Cointegration:How to access rows in R output

Hi guys,

I ran ca.jo(data,type="trace", ecdet="none",k=2) i.e. Johansen's Trace test on R-Studio (package: "urca")and got the output below:

I have 3 questions about this:

A> How do I programmatically access the columns("test", "10pct" etc) in 
A> any
row corresponding to, say, r < = 1 in the output?  I mean, I shall only provide the r-value as an input and all the (column name, column value) pairs will be outputted to me.

B> How do I write a code that will check if the null hypotheses for r 
B> =0,
<= 1, <= 2 and so on  (in this order) are rejected or not; and in case one of them is rejected, it checks the next higher value of r and gives the final inference , something like "Null not rejected for r <= *appropriate r-value from this table* " or "All nulls rejected" or "No null rejected'.

C> Also, I need to extract the eigen vectors from the Cointegration 
C> Matrix
below to get the cointegrated transfoms.

I have attached the data for your perusal. If I need to provide anything more, please let me know.

Regards,
Preetam

######################
# Johansen-Procedure #
######################

Test type: trace statistic , with linear trend in cointegration

Eigenvalues (lambda):
[1] 7.935953e-01 5.444372e-01 4.985327e-01 2.562245e-01 5.551115e-16

Values of teststatistic and critical values of test:

          test 10pct  5pct  1pct
r <= 3 |  6.81 10.49 12.25 16.26
r <= 2 | 22.68 22.76 25.32 30.45
r <= 1 | 40.77 39.06 42.44 48.45
r = 0  | 77.06 59.14 62.99 70.05

Eigenvectors, normalised to first column:
(These are the cointegration relations)

               GDP.l2     HPA.l2       FX.l2        Y.l2   trend.l2
GDP.l2    1.000000000  1.0000000  1.00000000  1.00000000  1.0000000
HPA.l2    2.525511110  0.1569079  0.08077351 -0.22777550 -0.9178250
FX.l2    -8.643729121 -2.5815150  0.17158404 -0.47053012 -4.8528875
Y.l2      0.805229998 -1.4241546  0.07767540  0.02303305  0.5213294
trend.l2  0.006283314  0.0385276 -0.01512016  0.01986813 -0.9516072

Weights W:
(This is the loading matrix)

           GDP.l2      HPA.l2      FX.l2        Y.l2      trend.l2
GDP.d  0.03055313 -0.04681978 -0.8376985 -0.04220534 -1.271960e-17 HPA.d -0.22649596 -0.24287691 -1.6358880  2.03813569 -8.002467e-17
FX.d   0.10327579  0.15150469 -0.1649066  0.37449910 -2.570250e-18
Y.d   -0.35200485  0.56808024 -5.7829738  0.01000965  1.730461e-16
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