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

[Pfaff, Bernhard Dr.]

`l17` signify the seventeenth lag of a variable. Choose the other specification, and you will observe `l1`. You are confused by VECM and the Two-step Engle-Granger procedure. The available specifications of a VECM are given in ?ca.jo from the meaning of the `lfoo` could be interferred, too.

Best,
Bernhard

> -----Ursprüngliche Nachricht-----
> Von: r-sig-finance-bounces at r-project.org 
> [mailto:r-sig-finance-bounces at r-project.org] Im Auftrag von algotr8der
> Gesendet: Dienstag, 26. April 2011 20:12
> An: r-sig-finance at r-project.org
> Betreff: Re: [R-SIG-Finance] cointegration using Johansen for VAR
> 
> 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 documentation. 
> 
> Eigenvectors, normalised to first column: 
> (These are the cointegration relations) 
> 
>               V1.l17          V2.l17           V3.l17         
>   V4.l17      
> constant 
> 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.
> 
> 
> 
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> -VAR-tp3474574p3476132.html
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