[R-SIG-Finance] Quick question: the parameter K in the Johansen Procedure for VAR?

[R. Michael Weylandt]

As I said to you before, ca.jo is in the urca package.

It's defined in arguments: to wit,

K: The lag order of the series (levels) in the VAR.

It's also used in that manner throughout the details section.

Michael Weylandt

On Mon, Apr 2, 2012 at 5:33 PM, Michael <comtech.usa at gmail.com> wrote:
> Hi all,
>
> I have a quick question:
>
> In using "ca.jo" in "vars"...
>
>
> ca.jo(x, type = c("eigen", "trace"), ecdet = c("none", "const", "trend"), K = 2,
> spec=c("longrun", "transitory"), season = NULL, dumvar = NULL)
>
>
>
> There is a parameter "K".
>
> What does this "K" correspond to in the "Details" section? It doesn't
> appear anywhere in the fomulars...
>
> When I read into the book by Dr. Bernhard Pfaff, I couldn't find a
> corresponding one either...
>
> Please help me!
>
>
>
> Thank you!
>
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>
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