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

Enter Johansen statistics (1998) (trace), then it will calculate its P-value according to the approximation method proposed by Doornik (1998).

1 |

`q` |
Johansen statistics(trace) |

`nComT` |
Number of common trends specified in the model |

`type` |
Character. The specification of constant and trend in VECM. see Details |

Enter the Johansen statistic(1988)(trace), then it will calculate
its P-value according to the approximation method proposed by Doornik (1998). `nComT`

is actually
the dimention miinus the specified rank number in VECM. In terms of the specification of constant and trend:

`"z"`

: No constant and no trend.

`"c"`

: Restriced constant but no trend. This type corresponds with the Case 1* in Osterwal (1992) and the type `"const"`

in `ca.jo`

.

`"lc"`

: Unrestricted constant but no trend. This type corresponds with the Case 1 in Osterwal (1992).

`"l"`

: Unrestricted constant and restriced trend. This type corresponds with the Case 2* in Osterwal (1992) and the type `"trend"`

in `ca.jo`

.

`"ql"`

: Unrestricted constant and Unrestriced trend. This type corresponds with the Case 2 in Osterwal (1992).

More detailed explanation for the different typs above could be found in Osterwal (1992) and Doornik (1998).

P-vlaue of Johansen statistics

Fan Yang

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

Doornik, J. A. (1998), Approximations to the Asymptotic Distributions of Cointegration Tests, *Journal of Economic Surveys* **12**, 573–593.

1 2 3 4 5 6 7 8 | ```
# when type in \code{ca.jo} is \code{"const"} in Osterwal (1992) and in \code{ca.jo}
# and when there are 1,2 or 3 common trends in the VECM respectively,
# 12.97,24.60 and 41.07 are the corresponding statistics when P-value is 0.01 and
#The examples here show the approximation using Doornik (1998) works very well
p.Johansen(12.97,1,"c")
p.Johansen(24.60,2,"c")
p.Johansen(41.07,3,"c")
``` |

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