Hello Lee, in addition to David's answer, see: ?MacKinnonPValues in package 'urca' (CRAN and R-Forge).
Best, Bernhard > -----Ursprüngliche Nachricht----- > Von: r-help-boun...@r-project.org > [mailto:r-help-boun...@r-project.org] Im Auftrag von David Winsemius > Gesendet: Freitag, 6. Mai 2011 04:46 > An: Lee Schulz > Cc: R-help@r-project.org > Betreff: Re: [R] MacKinnon critical value > > > On May 5, 2011, at 9:10 PM, Lee Schulz wrote: > > > Hello, > > > > > > > > I am doing an Engle Granger test on the residuals of two I(1) > > processes. > > I would like to get the MacKinnon (1996) critical value, > say at 10%. > > I have 273 observations with 5 integrated explanatory > variables , so > > that k=4. Could someone help me with the procedure in R? > > See if this helps: > > http://search.r-project.org/cgi-bin/namazu.cgi?query=Engle+Gra nger+mackinnon&max=100> &result=normal&sort=score&idxname=functions&idxname=Rhelp08&id xname=Rhelp10&idxname=Rhelp02 > > -- > David Winsemius, MD > West Hartford, CT > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ***************************************************************** Confidentiality Note: The information contained in this ...{{dropped:10}} ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
