ca.po: Phillips and Ouliaris Cointegration Test

In urca: Unit Root and Cointegration Tests for Time Series Data

Phillips and Ouliaris Cointegration Test

Description

Performs the Phillips and Ouliaris "Pu" and "Pz" cointegration test.

Usage

ca.po(z, demean = c("none", "constant", "trend"),
      lag = c("short", "long"), type = c("Pu", "Pz"), tol = NULL)

Arguments

z	Data matrix to be investigated for cointegration.
demean	The method for detrending the series, either "none", "constant" or "trend".
lag	Either a short or long lag number used for variance/covariance correction.
type	The test type, either "Pu" or "Pz".
tol	Numeric, this argument is passed to solve() in ca.po().

Details

The test "Pz", compared to the test "Pu", has the advantage that it is invariant to the normalization of the cointegration vector, i.e. it does not matter which variable is on the left hand side of the equation. In case convergence problems are encountered by matrix inversion, one can pass a higher tolerance level via "tol=..." to the solve()-function.

Value

An object of class ca.po.

Author(s)

Bernhard Pfaff

References

Phillips, P.C.B. and Ouliaris, S. (1990), Asymptotic Properties of Residual Based Tests for Cointegration, Econometrica, Vol. 58, No. 1, 165–193.

See Also

ca.po-class

Examples

data(ecb)
m3.real <- ecb[,"m3"]/ecb[,"gdp.defl"]
gdp.real <- ecb[,"gdp.nom"]/ecb[,"gdp.defl"]
rl <- ecb[,"rl"]
ecb.data <- cbind(m3.real, gdp.real, rl)
m3d.po <- ca.po(ecb.data, type="Pz")
summary(m3d.po)

urca documentation built on May 29, 2024, 5:36 a.m.