lttest | R Documentation |

Conducts a likelihood ratio test for no inclusion of a linear trend in a
VAR. That is, the Null hypothesis is for not including a linear trend
and is assigned as 'H2*(r)'. The test statistic is distributed as
`\chi^2`

square with `(p-r)`

degrees of freedom.

```
lttest(z, r)
```

`z` |
An object of class ‘ca.jo’. |

`r` |
The count of cointegrating relationships. |

The count of cointegrating relations should be given as integer and
should be in the interval `1 \leq r < P`

.

`lttest` |
Matrix containing the value of the test statistic and its p-value. |

Bernhard Pfaff

Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and
Inference on Cointegration – with Applications to the Demand for
Money, *Oxford Bulletin of Economics and Statistics*, **52,
2**, 169–210.

Johansen, S. (1991), Estimation and Hypothesis Testing of
Cointegration Vectors in Gaussian Vector Autoregressive Models,
*Econometrica*, **Vol. 59, No. 6**, 1551–1580.

`ca.jo`

and `ca.jo-class`

.

```
data(denmark)
sjd <- as.matrix(denmark[, c("LRM", "LRY", "IBO", "IDE")])
sjd.vecm <- ca.jo(sjd, ecdet = "const", type="eigen", K=2, spec="longrun",
season=4)
lttest(sjd.vecm, r=1)
#
data(finland)
sjf <- as.matrix(finland)
sjf.vecm <- ca.jo(sjf, ecdet = "none", type="eigen", K=2,
spec="longrun", season=4)
lttest(sjf.vecm, r=3)
```

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