Performs the Phillips and Ouliaris
ca.po(z, demean = c("none", "constant", "trend"), lag = c("short", "long"), type = c("Pu", "Pz"), tol = NULL)
Data matrix to be investigated for cointegration.
The method for detrending the series, either
Either a short or long lag number used for variance/covariance correction.
The test type, either
Numeric, this argument is passed to
"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
An object of class
Phillips, P.C.B. and Ouliaris, S. (1990), Asymptotic Properties of Residual Based Tests for Cointegration, Econometrica, Vol. 58, No. 1, 165–193.
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.