Description Usage Arguments Details Value Author(s) References See Also Examples

Search the lag order to maximize Johansen Statistics (1988) assuming there is only one common trend.

1 |

`data` |
Data used to construct the cointegration system |

`k` |
maximum number of lags to search |

`ecdet` |
Character, the same argument used in |

Under the assumption that there is only one common trend, if a lag oder is chosen to maximize the Johansen statistics , then the estimated signle common trend will best fit the original series.

‘`none`

’ is suggested to be chosen for ‘`ecdet`

’, since currently
this package only supports extrating common trend when intercept is included into VECM (but outside ECT).

`Olag.value` |
The maximized Johansen statistics (trace) |

`Olag` |
The lag order that maximizes Johansen statistics |

`list.lags` |
A list of all the possible lag orders and their corresponding Johansen Statistics. Note that the value when lag order is one is NA since lag order must bigger than 2. |

Fan Yang

Johansen, S. (1988), Statistical Analysis of Cointegration Vectors,
*Journal of Economic Dynamics and Control*, **12**, 231–254.

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