[R-SIG-Finance] [R-sig-finance] Looking for critical values for Johansen's trace test

Stefan Grosse singularitaet at gmx.net
Mon Aug 24 16:21:26 CEST 2009

On Mon, 24 Aug 2009 05:15:24 -0700 (PDT) RON70
<ron_michael70 at yahoo.com> wrote:

R> Hi can anyone please help me on where to get table for critical
R> values for Johansen's Trace test for testing co-integration rank,
R> for different type of deterministic terms? I already have looked
R> into Hamilton's book however could not find what I want.

Did you have a look at the ca.jo function of the urca package? You can
have a look at the code with simply:
you will easily find the critical values with a little bit of
programming knowledge...


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