Description Usage Arguments Details Value Author(s) References See Also Examples
Enter the P-value of Johansen statistics(1988), then it will calculate the Johansen statistic(trace) itself according to the approximation method proposed by Doornik (1998).
1 |
p |
P-value of Johansen statistics |
nComT |
Number of common trends specified in the model |
type |
Character. The specification of constant and trend in VECM. see Details |
Enter the P-value of Johansen statistics(1988), then it will calculate the
Johansen statistic(trace) itself according to the approximation method proposed by Doornik (1998).
nComT
is actually the dimention miinus the specified rank number in VECM.
For the specification of constant and trend, you could directly refer to p.Johansen
.
Johansen statistic(trace)
Fan Yang
Johansen, S. (1988), Statistical Analysis of Cointegration Vectors,Journal of Economic Dynamics and Control, 12, 231–254.
Doornik, J. A. (1998), Approximations to the Asymptotic Distributions of Cointegration Tests, Journal of Economic Surveys 12, 573–593.
1 2 3 4 5 6 | #Traces for the fowllowing 3 cases are actually 12.97,24.60, 41.07 in Osterwal (1992) and in \code{ca.jo}
#The examples here show the approximation using Doornik (1998) works very well
q.Johansen(0.01,1,"c")
q.Johansen(0.01,2,"c")
q.Johansen(0.01,3,"c")
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