[R-SIG-Finance] Johansen

[mat]

why don't you select your lags based on the VAR model, and take use it 
for the VECM? (with one lag less than VAR!)
see:

?VARselect


Hope this help

Btw, next time, provide reproducible code please!

karla hernandez villafuerte a écrit :
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> Dear Members:
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> I am working with the function ca.jo from the URCA package in order to know the range of cointegration between two variables. I am trying to calculate the optimum value of the lags (called K in the function). But the package does not provide the AIC and the logLink values for objets like this.
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> I am using the function like in the following example:
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> ca.jo(YX, type = c("trace"), ecdet = c("none"), K = 2, spec=c("longrun"), season = NULL, dumvar = NULL)
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> I want to ask if someone knows a way to calculate the k optimum.
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> Thanks a lot!
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> Karla Hernández
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