Hello,

I'm Nicolás, undergraduate student from Chile. Currently, I'm making a study about the construction of models to forecast the movements of the exchange rate. As part of the analysis, I'm trying to calculate the cointegration between two time series (exchange rate and price levels), and I'm using R for this. I've used the ca.jo function (Johansen Test for Cointegration) but I don't know how to read these results:

> datos_jo<-ca.jo(datos,ecdet="const", type="trace")
>
> summary(datos_jo)

######################
# Johansen-Procedure #
######################

Test type: trace statistic , without linear trend and constant in cointegration

Values of teststatistic and critical values of test:

         test 10pct  5pct  1pct
r <= 1 | 1.67  7.52  9.24 12.97
r = 0  | 8.62 17.85 19.96 24.60

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

             ln.prices.l2 ln.erate.l2   constant
ln.prices.l2    1.0000000   1.0000000  1.0000000
ln.erate.l2     0.3571154   0.8922855 -0.1655117
constant       -1.6234952  -3.5156586  0.8264138

Weights W:
(This is the loading matrix)

            ln.prices.l2   ln.erate.l2      constant
ln.prices.d  -0.01825480  0.0007664841 -9.923320e-16
ln.erate.d   -0.09946629 -0.0024654855 -4.356132e-15

Basically, I'm trying to find two parameters (C and D) in a formula like this:  ln e, t+h - ln e, t = A + B (ln e, t - C - D ln P, t) + error, t ; to later make a regression and find the A and B values.

Thanks, and regards,

Nicolás Gómez


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