englegranger: Cointegration Tests

In combcoint: A Joint Test-Statistic for the Null of Non-Cointegration

Cointegration Tests

Description

Executes common cointegration tests, which serve as underlying tests for the Bayer Hanck Test statistic.

Usage

banerjee(formula, data, lags = 1, trend = "const")

boswijk(formula, data, lags = 1, trend = "const")

englegranger(formula, data, lags = 1, trend = "const")

johansen(formula, data, type = "eigen", lags = 1, trend = "const")

Arguments

formula	An object of class formula to describe the model.
data	An optional data frame containing the variables in the model.
lags	Number of lags to be included.
trend	Type of deterministic component to be inlcuded, "none" for no deterministics, "const" for a constant and "trend" for a constant plus trend.
type	Test to be conducted, either "eigen" or "trace".

Value

Returns an object of class "list".

Functions

• banerjee(): Executes Banerjee Test.

• boswijk(): Executes Boswijk Test.

• johansen(): Executes Johansen Test.

References

Engle, R. and Granger, C. (1987), Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica 55(2), 251-76.

Johansen, S. (1988), Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control 12(2-3), 231-254.

Banerjee, A., Dolado, J. J. and Mestre, R. (1998), Error-correction Mechanism Tests for Cointegration in a Single-equation Framework, Journal of Times Series Analysis 19(3), 267-283.

Boswijk, H. P. (1994), Testing for an unstable root in conditional and structural error correction models, Journal of Econometrics 63(1), 37-60.

Examples

# Luetkepohl (2007): Economic data from West Germany
data(lutkepohl_e1)
englegranger(linvestment ~ lincome + lconsumption, data = lutkepohl_e1)

#' @examplesIf requireNamespace("MTS", quietly = TRUE)
# World Almanac and Book of Facts (1975): Monthly simple returns of the stocks of IBM,
# Coca Cola and S&P Composite index
try({
  data("mts-examples", package = "MTS")
  englegranger(sp ~ ibm + ko, data = ibmspko)
}, silent = TRUE)

combcoint documentation built on June 14, 2025, 1:09 a.m.