[R-SIG-Finance] ca.jo help
Charles Evans
cevans at chyden.net
Thu May 14 19:49:49 CEST 2009
This is in regard to the ca.jo() function in the urca package in R.
I am a PhD candidate in Finance at Florida Atlantic University in Boca
Raton, FL, USA. As part of my research I must perform cointegration
tests on the price and NAV time series of 51 ETFs. I am able to run
Augmented Dickey-Fuller and Phillips-Perron tests in R. However, I am
having a devil of a time getting ca.jo() to work. If anyone can
provide guidance, I would be most appreciative.
I suspect that the problem is related to how I have my data
organized. I have one set of price data (called pt) for 51 ETFs with
one ETF daily price series per column and T+1 rows; the first row
contains headers. The first column contains dates. I have another
set of NAV data (called nt) organized in the same way. The ETFs have
different incept dates, and the tables contain NA values.
I want to test for price/NAV cointegration using the Johansen
procedures – both eignevalue and trace test – for each of the 51
pairs. When I create a time series for, e.g., price[,49] and NAV[,49]
using the cbind() function I get:
> johansen_pn <- ts(cbind(pt[,49],nt[,49]))
> ca.jo(johansen_pn, type = c("trace"), ecdet = c("const"), K = 2,
spec=c("longrun"), season = NULL, dumvar = NULL)
Error in dimnames(x) <- dn :
length of 'dimnames' [2] not equal to array extent
I have tried n different ways to construct the "x" (here, johansen_pn)
variable, and I get the same dimnames error every time.
Can anyone suggest a remedy or a cookbook explanation of how to use
ca.jo() properly?
Charles Evans
cevans at chyden.net
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