cajolst: Testing Cointegrating Rank with Level Shift at Unknown time
Description
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.
Usage
cajolst(x, trend = TRUE, K = 2, season = NULL)
Arguments
x
Data matrix to be investigated for cointegration.
trend
A linear trend is included in the auxiliary regressions
for data adjustment (default is TRUE).
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.
Value
Returns an object of class ca.jo.
Details
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).
References
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.