CommonTrend (version 0.7-1)

q.Johansen: Get Johansen statistics from its P-value

Description

Enter the P-value of Johansen statistics(1988), then it will calculate the Johansen statistic(trace) itself according to the approximation method proposed by Doornik (1998).

Usage

q.Johansen (p,nComT,type=c("z","c","lc","l","ql") )

Arguments

p

P-value of Johansen statistics

nComT

Number of common trends specified in the model

type

Character. The specification of constant and trend in VECM. see Details

Value

Johansen statistic(trace)

Details

Enter the P-value of Johansen statistics(1988), then it will calculate the Johansen statistic(trace) itself according to the approximation method proposed by Doornik (1998). nComT is actually the dimention miinus the specified rank number in VECM. For the specification of constant and trend, you could directly refer to p.Johansen.

References

Johansen, S. (1988), Statistical Analysis of Cointegration Vectors,Journal of Economic Dynamics and Control, 12, 231--254.

Doornik, J. A. (1998), Approximations to the Asymptotic Distributions of Cointegration Tests, Journal of Economic Surveys 12, 573--593.

See Also

p.Johansen

Examples

#Traces for the fowllowing 3 cases are actually 
#12.97,24.60, 41.07 in Osterwal (1992) and in ca.jo of urca package.
#The examples here show the approximation using Doornik (1998) works very well
q.Johansen(0.01,1,"c")
q.Johansen(0.01,2,"c")
q.Johansen(0.01,3,"c")