This is somewhat technical and I'd advise you post to R-Sig-Finance and cc the
package maintainer, Dr Pfaff, directly. Use maintainer("urca") to get his
email.
Cheers,
Michael
On Aug 21, 2012, at 4:48 AM, Rmillan <emiln_leifs...@hotmail.com> wrote:
> Hi all R users,
>
> I'm trying to replicate the same results that are given in a published
> article after been granted
> the same data that the authors use.
> I'm having problems to determine the cointegration rank of my data set using
> the Johnasen's trace test.
> This trace test is already programmed in the package ur.ca and can be found
> in the function
> ca.jo().
> After I run the ca.jo() function on my data set I get the following output:
>
> Values of teststatistic and critical values of test:
>
> test 10pct 5pct 1pct
> r<=10 9.71 7.52 9.24 12.97
> r<=9 24.18 17.85 19.96 24.6
> r<=8 45.16 32 34.91 41.07
> r<=7 74.12 49.65 53.12 60.16
> r<=6 113.96 71.86 76.07 84.45
> r<=5 158.58 97.18 102.14 111.01
> r<=4 207.95 126.58 131.7 143.09
> r<=3 278.29 159.48 165.58 177.2
> r<=2 361.34 196.37 202.92 215.74
> r<=1 481.09 236.54 244.15 257.68
> r=0 626.23 282.45 291.4 307.64
>
>> From this output I would conclude that the cointegration rank is either 9 or
> 10.
> If I run the same test in Stata I get completly different numbers,
> especially for my test values. These values
> actually correspond to the values the authors get in the article. From that
> output I would conclude
> that the conintegration rank is either 6 or 7, which would give me completly
> different result
> when estimating the VECM model then if I use cointegration rank equal to 9
> or 10.
> Can anyone explain why this difference occurs?
> Thanks in advance.
>
> Best regards,
>
> Emil
>
>
>
>
> --
> View this message in context:
> http://r.789695.n4.nabble.com/Trace-values-in-the-function-ca-jo-tp4640876.html
> Sent from the R help mailing list archive at Nabble.com.
>
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