`l17` signify the seventeenth lag of a variable. Choose the other specification, and you will observe `l1`. You are confused by VECM and the Two-step Engle-Granger procedure. The available specifications of a VECM are given in ?ca.jo from the meaning of the `lfoo` could be interferred, too.
Best, Bernhard > -----Ursprüngliche Nachricht----- > Von: [email protected] > [mailto:[email protected]] Im Auftrag von algotr8der > Gesendet: Dienstag, 26. April 2011 20:12 > An: [email protected] > Betreff: Re: [R-SIG-Finance] cointegration using Johansen for VAR > > Hi Dr. Bernhard, > > Thank you for the clarification on the lag terms. I will use > your advice in building my model. > > That being said, the output of ca.jo still confuses me. THe > cointegration vector should describe the long-run (in my > case) equilibrium in the levels of the variables and I guess > the 'l17' suffix attached to the variables in the output of > ca.jo is confusing me. This is not explained in the documentation. > > Eigenvectors, normalised to first column: > (These are the cointegration relations) > > V1.l17 V2.l17 V3.l17 > V4.l17 > constant > V1.l17 1.0000000 1.0000000 1.0000000 > 1.0000000 1.00000000 > V2.l17 -0.2041193 -1.1345264 -0.3982231 > -0.4862289 -0.21197975 > V3.l17 -0.2584363 2.6858123 -0.8965070 > -0.7727329 -0.43277884 > V4.l17 -0.5167626 -0.8169243 -0.4955091 > 0.5102647 0.06214863 > constant 5.2281138 -65.4213338 84.4998981 28.3856062 > 0.05660371 > > My understanding is that the long-run equilibrium > cointegration relationship is in the levels of the variables > as follows: > > V1 - 0.2041193*V2 - 0.2584363*V3 - 0.5167626*V4 + 5.2281138 = > residuals > > Would this be an accurate statement? Thank you kindly for your help. > > > > -- > View this message in context: > http://r.789695.n4.nabble.com/cointegration-using-Johansen-for > -VAR-tp3474574p3476132.html > Sent from the Rmetrics mailing list archive at Nabble.com. > > _______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R > questions should go. > ***************************************************************** Confidentiality Note: The information contained in this ...{{dropped:10}} _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
