Testing Cointegrating Rank with Level Shift at Unknown time
The function cajolst implements the procedure by Luetkepohl
et al. to test for the cointegration rank of a VAR process with
a level shift at an unknown time.
cajolst(x, trend = TRUE, K = 2, season = NULL)
x |
Data matrix to be investigated for cointegration. |
trend |
A linear trend is included in the auxiliary regressions
for data adjustment (default is |
K |
The lag order of the series (levels) in the VAR, must be at least equal to K = 2. |
season |
If seasonal dummies should be included, the data frequency must be set accordingly, i.e ‘4’ for quarterly data. |
Note, that the slot "x" of the returned object contains the
adjusted data series, that is, a matrix adjusted for the temptative
break point, and if applicable, a linear trend and/or seasonal
effects. The VECM is then estimated and tested for cointegration rank
subject to the adjusted matrix. The break point is contained in the
slot "bp". Please note, that the transitory VECM
specification is estimated and that only the trace test is
available. The critical values are taken from Trenkler, Carsten (2003).
Returns an object of class ca.jo.
Bernhard Pfaff
L\"utkepohl, H., Saikkonen, P. and Trenkler, C. (2004), Testing for the Cointegrating Rank of a VAR Process with Level Shift at Unknown Time, Econometrica, Vol. 72, No. 2, 647–662.
Trenkler, Carsten (2003), A new set of critical values for systems cointegration tests with a prior adjustment for deterministic terms, Economics Bulletin, Vol. 3, No. 11, 1–9.
plotres, alrtest, ablrtest,
blrtest, ca.jo, cajools,
lttest, ca.jo-class and urca-class.
data(denmark)
sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
sjd.lst <- cajolst(sjd, trend=TRUE, K=2, season=4)
summary(sjd.lst)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.