>Von: r-help-boun...@r-project.org >[mailto:r-help-boun...@r-project.org] Im Auftrag von >severine.gai...@unil.ch >Gesendet: Donnerstag, 4. Juni 2009 01:43 >An: r-h...@stat.math.ethz.ch >Betreff: [R] Finding cointegration relations in a VAR(1) > >Dear R people, > >I am trying to find the cointegration relations in a VAR(1). >The ca.jo function conducts the Johansen procedure, but we >have to specify at least 2 lags. How should I do if I want >to include only one lag? >
hello Severine, the lag argument refers to the level-VAR. This means that you end up with one lag of the endoegnous variables in your VECM. In case you do want to specify a VECM without any lagged endogenous variables, you have to calculate the reduced rank regressions by hand and derive the relevant tests from there. You can partly employ the code in ca.jo() in order to do so. Best, Bernhard >Thank you very much for your help! > >Have a nice day, > >Severine Gaille > >_________________________ > >Ecole des HEC >Universite de Lausanne >CH-1015 Lausanne >Tel (+41 21) 692 33 76 > >______________________________________________ >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.
