[R] Help with ca.jo and cajools (Johansen's Cointegration)

Chilton, Alexander B [MSD] alexander.b.chilton at citigroup.com
Tue Dec 20 23:30:50 CET 2005

I am trying to run a conintegration analysis. I am a former user of S-Plus and understand the output of the coint and VECM output, but I am having trouble understanding the equivalent output in R.

Here is what I ran

> coint=ca.jo(data,constant=T,K=2,spec="longrun")
> summary(coint)

The first portion of the output that I did not understand

          [,1]      [,2]      [,3]
y1        1.000000  1.000000  1.000000
y2       -1.114734 -2.461872 -2.216456
constant  1.364641  7.473149  7.331977

>From this i think that y1 - 1.143*y2 + 1.36 ~ I(0)

What i don't understand is where columns [,2] and [,3] come into play. Now i run the following:

> cajools(coint)

lm(formula = z at Z0 ~ z at Z1 + z at ZK - 1)

           [,1]       [,2]     
z at Z11       0.028114   0.065968
z at Z12       0.371630   0.183797
z at ZKy1     -0.011724  -0.002647
z at ZKy2      0.012282   0.001827
z at ZK       -0.012430   0.001482

My understanding is that the specification of the VECM was as follows (with K=2):

deltay1 = c1 + a1*(y1_t-1-b2*y2_t-1)+ phi11*lag(deltay1_t-1) + phi12*deltay2_t-1+e1

deltay2 = c2 + a2*(y1_t-1-b2*y2_t-1)+ phi21*lag(deltay1_t-1) + phi22*deltay2_t-1+e2

My guess is that Z11 and Z12 correspond to the above phis. That c1 and c1 correspond to ZK. That b2 is -1.11 from the step before? The rest, ZKy1 and ZKy2 I can't place. Please help,


More information about the R-help mailing list