p.Johansen: P-value of Johansen statistics

In CommonTrend: Extract and plot common trends from a cointegration system. Calculate P-value for Johansen Statistics.

Description

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

Usage

p.Johansen (q,nComT,type=c("z","c","lc","l","ql") ) 

Arguments

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

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).

Value

P-vlaue of Johansen statistics

Author(s)

Fan Yang

References

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.

See Also

q.Johansen

Examples

# 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")
 

CommonTrend documentation built on May 2, 2019, 3:28 p.m.