[R-SIG-Finance] cointegration using Johansen for VAR

algotr8der algotr8der at gmail.com
Tue Apr 26 20:11:43 CEST 2011

Hi Dr. Bernhard,

Thank you for the clarification on the lag terms. I will use your advice in
building my model.

That being said, the output of ca.jo still confuses me. THe cointegration
vector should describe the long-run (in my case) equilibrium in the levels
of the variables and I guess the 'l17' suffix attached to the variables in
the output of ca.jo is confusing me. This is not explained in the

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

              V1.l17          V2.l17           V3.l17           V4.l17      
V1.l17     1.0000000     1.0000000     1.0000000     1.0000000   1.00000000 
V2.l17    -0.2041193    -1.1345264    -0.3982231    -0.4862289  -0.21197975 
V3.l17    -0.2584363     2.6858123    -0.8965070    -0.7727329  -0.43277884 
V4.l17    -0.5167626    -0.8169243    -0.4955091     0.5102647   0.06214863 
constant  5.2281138   -65.4213338    84.4998981    28.3856062  0.05660371 

My understanding is that the long-run equilibrium cointegration relationship
is in the levels of the variables as follows:

V1 - 0.2041193*V2 - 0.2584363*V3 - 0.5167626*V4 + 5.2281138 =  residuals 

Would this be an accurate statement? Thank you kindly for your help.

View this message in context: http://r.789695.n4.nabble.com/cointegration-using-Johansen-for-VAR-tp3474574p3476132.html
Sent from the Rmetrics mailing list archive at Nabble.com.

More information about the R-SIG-Finance mailing list