cajolst: Testing Cointegrating Rank with Level Shift at Unknown time

cajolstR Documentation

Testing Cointegrating Rank with Level Shift at Unknown time


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)



Data matrix to be investigated for cointegration.


A linear trend is included in the auxiliary regressions for data adjustment (default is TRUE).


The lag order of the series (levels) in the VAR, must be at least equal to K = 2.


If seasonal dummies should be included, the data frequency must be set accordingly, i.e ‘4’ for quarterly data.


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


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.

See Also

plotres, alrtest, ablrtest, blrtest,, cajools, lttest, and urca-class.


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

urca documentation built on Aug. 30, 2022, 1:10 a.m.

Related to cajolst in urca...