cajolst | R Documentation |

The function `cajolst`

implements the procedure by Luetkepohl
*et al.* to test for the cointegration rank of a VAR process with
a level shift at an unknown time.

cajolst(x, trend = TRUE, K = 2, season = NULL)

`x` |
Data matrix to be investigated for cointegration. |

`trend` |
A linear trend is included in the auxiliary regressions
for data adjustment (default is |

`K` |
The lag order of the series (levels) in the VAR, must be at
least equal to |

`season` |
If seasonal dummies should be included, the data
frequency must be set accordingly, |

Note, that the slot `"x"`

of the returned object contains the
adjusted data series, that is, a matrix adjusted for the temptative
break point, and if applicable, a linear trend and/or seasonal
effects. The VECM is then estimated and tested for cointegration rank
subject to the adjusted matrix. The break point is contained in the
slot `"bp"`

. Please note, that the *transitory* VECM
specification is estimated and that only the trace test is
available. The critical values are taken from Trenkler, Carsten (2003).

Returns an object of class `ca.jo`

.

Bernhard Pfaff

L\"utkepohl, H., Saikkonen, P. and Trenkler, C. (2004), Testing for the
Cointegrating Rank of a VAR Process with Level Shift at Unknown Time,
*Econometrica*, **Vol. 72, No. 2**, 647–662.

Trenkler, Carsten (2003), A new set of critical values for systems
cointegration tests with a prior adjustment for deterministic terms,
*Economics Bulletin*, **Vol. 3, No. 11**, 1–9.

`plotres`

, `alrtest`

, `ablrtest`

,
`blrtest`

, `ca.jo`

, `cajools`

,
`lttest`

, `ca.jo-class`

and `urca-class`

.

data(denmark) sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")] sjd.lst <- cajolst(sjd, trend=TRUE, K=2, season=4) summary(sjd.lst)

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.