In tseries, look for ?adf.test & ?pp.test.
These are standard unit-root tests and can only be used to test for
cointegration indirectly. And then the critical values have to be
adapted. A direct test for cointegration is po.test from tseries.
-----Original Message-----
From: [EMAIL PROTECTED]
[mailto:[EMAIL PROTECTED] On Behalf Of Erin Hodgess
Sent: Wednesday, November 05, 2003 8:20 AM
To: [EMAIL PROTECTED]
Subject: [R] Cointegration
Do any packages exist for cointegration, please?
No. However, it is pretty simple to implement the Engle-Granger two-step
procedure by using lm, embed, and maybe arima, together with one of the
mentioned tests.
Do we need them, if the answer to the previous is no, please?
It would be nice to have one, sure. In particular, the Johansen procedures.
Thanks,
Erin
mailto: [EMAIL PROTECTED]
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best
Adrian
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Dr. Adrian Trapletti
Trapletti Statistical Computing
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Switzerland
Phone & Fax : +41 (0) 1 994 5631
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