Phillips \& Ouliaris Cointegration Test
Performs the Phillips \& Ouliaris "Pu" and "Pz"
cointegration test.
ca.po(z, demean = c("none", "constant", "trend"),
lag = c("short", "long"), type = c("Pu", "Pz"), tol = NULL)z |
Data matrix to be investigated for cointegration. |
demean |
The method for detrending the series, either
|
lag |
Either a short or long lag number used for variance/covariance correction. |
type |
The test type, either |
tol |
Numeric, this argument is passed to |
The test "Pz", compared to the test "Pu", has the
advantage that it is invariant to the normalization of the
cointegration vector, i.e. it does not matter which variable
is on the left hand side of the equation. In case convergence
problems are encountered by matrix inversion, one can pass a higher
tolerance level via "tol=..." to the solve()-function.
An object of class ca.po.
Bernhard Pfaff
Phillips, P.C.B. and Ouliaris, S. (1990), Asymptotic Properties of Residual Based Tests for Cointegration, Econometrica, Vol. 58, No. 1, 165–193.
data(ecb) m3.real <- ecb[,"m3"]/ecb[,"gdp.defl"] gdp.real <- ecb[,"gdp.nom"]/ecb[,"gdp.defl"] rl <- ecb[,"rl"] ecb.data <- cbind(m3.real, gdp.real, rl) m3d.po <- ca.po(ecb.data, type="Pz") summary(m3d.po)
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