ca.po  R Documentation 
Performs the Phillips and Ouliaris "Pu"
and "Pz"
cointegration test.
ca.po(z, demean = c("none", "constant", "trend"),
lag = c("short", "long"), type = c("Pu", "Pz"), tol = NULL)
z 
Data matrix to be investigated for cointegration. 
demean 
The method for detrending the series, either

lag 
Either a short or long lag number used for variance/covariance correction. 
type 
The test type, either 
tol 
Numeric, this argument is passed to 
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.
An object of class ca.po
.
Bernhard Pfaff
Phillips, P.C.B. and Ouliaris, S. (1990), Asymptotic Properties of Residual Based Tests for Cointegration, Econometrica, Vol. 58, No. 1, 165–193.
ca.poclass
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)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.