I just tried to figure out why R does not calculate the same johansen test
statistics as eviews does:
I imported data:
sy=read.csv("sy.csv",sep=";",header=TRUE)
si=read.csv("si.csv",sep=";",header=TRUE)
merged them.
swe=merge.zoo(si,sy)
when i test swe for cointegration with the johansen test, i get the same
results as in eviews.
however, if i change the time span, both in R and eviews, i get very
different results. i changed the time span in r like this:
first approach:
swe.1=swe[61:216]
second approach:
si.1=(window(si,c(1995,1),c(2007,12)))
sy.1=(window(sy,c(1995,1),c(2007,12)))
swe.2=merge.zoo(si.1,sy1)
if i now test cointegration on swe.1 or on swe.2 (both yield the same
result) I get very different results than eviews suggests.
any comments highly appreciated, i am trying to figure out the difference
for far too long now.
kind regards, Philipp
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