englegranger: Cointegration Tests
In jens-klenke/bayerhanck: A Joint Test-Statistic for the Null of Non-Cointegration

Description Usage Arguments Value Functions References Examples

View source: R/englegranger.R

Executes common cointegration tests, which serve as underlying tests for the Bayer Hanck Test statistic.

banerjee(formula, data, lags = 1, trend = "const")

boswijk(formula, data, lags = 1, trend = "const")

englegranger(formula, data, lags = 1, trend = "const")

johansen(formula, data, type = "eigen", lags = 1, trend = "const")

`formula`	An object of class `formula` to describe the model.
`data`	An optional data frame containing the variables in the model.
`lags`	Number of lags to be included.
`trend`	Type of deterministic component to be inlcuded, "none" for no deterministics, "const" for a constant and "trend" for a constant plus trend.
`type`	Test to be conducted, either "eigen" or "trace".

Returns an object of class "list".

banerjee: Executes Banerjee Test.
boswijk: Executes Boswijk Test.
johansen: Executes Johansen Test.

Engle, R. and Granger, C. (1987), Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica 55(2), 251-76.

Johansen, S. (1988), Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control 12(2-3), 231-254.

Banerjee, A., Dolado, J. J. and Mestre, R. (1998), Error-correction Mechanism Tests for Cointegration in a Single-equation Framework, Journal of Times Series Analysis 19(3), 267-283.

Boswijk, H. P. (1994), Testing for an unstable root in conditional and structural error correction models, Journal of Econometrics 63(1), 37-60.

# Luetkepohl (2007): Economic data from West Germany
data(lutkepohl_e1)
englegranger(linvestment ~ lincome + lconsumption, data = lutkepohl_e1)

# World Almanac and Book of Facts (1975): Monthly simple returns of the stocks of IBM,
# Coca Cola and S&P Composite index
data("mts-examples", package="MTS")
englegranger(sp ~ ibm + ko, data = ibmspko)