q.Johansen: Get Johansen statistics from its P-value

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

Description

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

Usage

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

Arguments

p	P-value of Johansen statistics
nComT	Number of common trends specified in the model
type	Character. The specification of constant and trend in VECM. see Details

Details

Enter the P-value of Johansen statistics(1988), then it will calculate the Johansen statistic(trace) itself according to the approximation method proposed by Doornik (1998). nComT is actually the dimention miinus the specified rank number in VECM. For the specification of constant and trend, you could directly refer to p.Johansen.

Value

Johansen statistic(trace)

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

p.Johansen

Examples

#Traces for the fowllowing 3 cases are actually 
#12.97,24.60, 41.07 in Osterwal (1992) and in ca.jo of urca package.
#The examples here show the approximation using Doornik (1998) works very well
q.Johansen(0.01,1,"c")
q.Johansen(0.01,2,"c")
q.Johansen(0.01,3,"c")
 

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