x
:"ANY"
: A data matrix, or an
object that can be coerced to it.Z0
:"matrix"
: The matrix of the
differenced series.Z1
:"matrix"
: The regressor
matrix, except for the lagged variables in levels.ZK
:"matrix"
: The matrix of the
lagged variables in levels.type
:"character"
: The type of the
test, either "trace"
or "eigen"
.model
:"character"
: The model
description in prose, with respect to the inclusion of a linear
trend.ecdet
:"character"
: Specifies
the deterministic term to be included in the cointegration
relation. This can be either "none", "const", or "trend".lag
:"integer"
: The lag order
for the variables in levels.P
:"integer"
: The count of
variables.season
:"ANY"
: The frequency of
the data, if seasonal dummies should be included, otherwise NULL.dumvar
:"ANY"
: A matrix
containing dummy variables. The row dimension must be equal to
x
, otherwise NULL.cval
:"ANY"
: The critical
values of the test at the 1%, 5% and 10% level of significance.teststat
:"ANY"
: The values
of the test statistics.lambda
:"vector"
: The eigenvalues.Vorg
:"matrix"
: The matrix of
eigenvectors, such that $\hat V'S_{kk}\hat V = I$.V
:"matrix"
: The matrix of
eigenvectors, normalised with respect to the first variable.W
:"matrix"
: The matrix of
loading weights.PI
:"matrix"
: The coeffcient
matrix of the lagged variables in levels.DELTA
:"matrix"
: The
variance/covarinace matrix of V
.GAMMA
:"matrix"
: The
coeffecient matrix of Z1
.R0
:"matrix"
: The matrix of
residuals from the regressions in differences.RK
:"matrix"
: The matrix of
residuals from the regression in lagged levels.bp
:"ANY"
: Potential break
point, only set if function cajolst
is called, otherwise
NA
.test.name
:"character"
: The
name of the test, i.e. `Johansen-Procedure'.spec
:"character"
: The
specification of the VECM.call
:"call"
: The
call of function ca.jo
.urca
, directly.showMethods(classes="ca.jo")
at the R prompt for a
complete list of methods which are available for this class. Useful methods include
show
:summary
:plot
:Johansen, S. (1988), Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control, 12, 231--254.
Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration -- with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 2, 169--210.
Johansen, S. (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica, Vol. 59, No. 6, 1551--1580.
ca.jo
, plotres
and urca-class
.