cointegrationTable: Cointegration test

In sfeuerriegel/ResearchGroupTools: Collection of Custom Helper Functions

Description

Conducts a cointegration test based on the Johansen procedure for multivariate time series.

Usage

cointegrationTable(d, vars = colnames(d), type = c("eigen", "trace"),
  K = NULL, filename = NULL, digits = 3, ...)

Arguments

d	Data frame containing the time series in column-wise format.
vars	Column names to check for stationarity. If not specified, then all columns are tested.
type	The test to be conducted, either "eigen" or "trace". See ur.df for details.
K	The lag order of the series (levels) in the VAR.
filename	Filename to export the table as LaTeX. Default is NULL, i.e. no export.
digits	Number of digits to be printed (default: 3).
...	Further parameters passed on to ca.jo.

Value

Table with result from cointegration test.

Examples

data(USArrests)
cointegrationTable(USArrests, vars = c("Murder", "Rape"), K = 2)
unlink("cointegration_eigen.tex")

sfeuerriegel/ResearchGroupTools documentation built on May 29, 2019, 8:01 p.m.