RTFM: help("ca.jo-class")
library(urca)
example(ca.jo)
class(sjf.vecm)
slotNames(sjf.vecm)
slot(sjf.vecm, "cval")
slot(sjf.vecm, "teststat")
slot(sjf.vecm, "V")
slot(sjf.vecm, "Vorg")
Best,
Bernhard
-----Ursprüngliche Nachricht-----
Von: R-help [mailto:r-help-boun...@r-project.org] Im Auftrag von Preetam Pal
Gesendet: Sonntag, 4. Oktober 2015 18:43
An: r-help@r-project.org
Betreff: [R] Johansen Test of Cointegration:How to access rows in R output
Hi guys,
I ran ca.jo(data,type="trace", ecdet="none",k=2) i.e. Johansen's Trace test on
R-Studio (package: "urca")and got the output below:
I have 3 questions about this:
A> How do I programmatically access the columns("test", "10pct" etc) in
A> any
row corresponding to, say, r < = 1 in the output? I mean, I shall only provide
the r-value as an input and all the (column name, column value) pairs will be
outputted to me.
B> How do I write a code that will check if the null hypotheses for r
B> =0,
<= 1, <= 2 and so on (in this order) are rejected or not; and in case one of
them is rejected, it checks the next higher value of r and gives the final
inference , something like "Null not rejected for r <= *appropriate r-value
from this table* " or "All nulls rejected" or "No null rejected'.
C> Also, I need to extract the eigen vectors from the Cointegration
C> Matrix
below to get the cointegrated transfoms.
I have attached the data for your perusal. If I need to provide anything more,
please let me know.
Regards,
Preetam
######################
# Johansen-Procedure #
######################
Test type: trace statistic , with linear trend in cointegration
Eigenvalues (lambda):
[1] 7.935953e-01 5.444372e-01 4.985327e-01 2.562245e-01 5.551115e-16
Values of teststatistic and critical values of test:
test 10pct 5pct 1pct
r <= 3 | 6.81 10.49 12.25 16.26
r <= 2 | 22.68 22.76 25.32 30.45
r <= 1 | 40.77 39.06 42.44 48.45
r = 0 | 77.06 59.14 62.99 70.05
Eigenvectors, normalised to first column:
(These are the cointegration relations)
GDP.l2 HPA.l2 FX.l2 Y.l2 trend.l2
GDP.l2 1.000000000 1.0000000 1.00000000 1.00000000 1.0000000
HPA.l2 2.525511110 0.1569079 0.08077351 -0.22777550 -0.9178250
FX.l2 -8.643729121 -2.5815150 0.17158404 -0.47053012 -4.8528875
Y.l2 0.805229998 -1.4241546 0.07767540 0.02303305 0.5213294
trend.l2 0.006283314 0.0385276 -0.01512016 0.01986813 -0.9516072
Weights W:
(This is the loading matrix)
GDP.l2 HPA.l2 FX.l2 Y.l2 trend.l2
GDP.d 0.03055313 -0.04681978 -0.8376985 -0.04220534 -1.271960e-17 HPA.d
-0.22649596 -0.24287691 -1.6358880 2.03813569 -8.002467e-17
FX.d 0.10327579 0.15150469 -0.1649066 0.37449910 -2.570250e-18
Y.d -0.35200485 0.56808024 -5.7829738 0.01000965 1.730461e-16
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