cajolst             package:urca             R Documentation(latin1)

_T_e_s_t_i_n_g _C_o_i_n_t_e_g_r_a_t_i_n_g _R_a_n_k _w_i_t_h _L_e_v_e_l _S_h_i_f_t _a_t _U_n_k_n_o_w_n _t_i_m_e

_D_e_s_c_r_i_p_t_i_o_n:

     The function 'cajolst' implements the procedure by Luetkepohl _et
     al._ to test for the cointegration rank of a VAR process with a
     level shift at an unknown time.

_U_s_a_g_e:

     cajolst(x, trend = TRUE, K = 2, season = NULL)

_A_r_g_u_m_e_n_t_s:

       x: Data matrix to be investigated for cointegration.

   trend: A linear trend is included in the auxiliary regressions for
          data adjustment (default is 'TRUE').

       K: The lag order of the series (levels) in the VAR, must be at
          least equal to K = 2.

  season: If seasonal dummies should be included, the data frequency
          must be set accordingly, _i.e_ 4 for quarterly data.

_D_e_t_a_i_l_s:

     Note, that the slot '"x"' of the returned object contains the
     adjusted data series, that is, a matrix adjusted for the
     temptative break point, and if applicable, a linear trend and/or
     seasonal effects. The VECM is then estimated and tested for
     cointegration rank subject to the adjusted matrix. The break point
     is contained in the slot '"bp"'. Please note, that the
     _transitory_ VECM specification is estimated and that only the
     trace test is available. The critical values are taken from
     Trenkler, Carsten (2003).

_V_a_l_u_e:

     Returns an object of class 'ca.jo'.

_A_u_t_h_o_r(_s):

     Bernhard Pfaff

_R_e_f_e_r_e_n_c_e_s:

     L\"utkepohl, H., Saikkonen, P. and Trenkler, C. (2004), Testing
     for the Cointegrating Rank of a VAR Process with Level Shift at
     Unknown Time, _Econometrica_, *Vol. 72, No. 2*, 647-662.

     Trenkler, Carsten (2003), A new set of critical values for systems
     cointegration tests with a prior adjustment for deterministic
     terms, _Economics Bulletin_, *Vol. 3, No. 11*, 1-9.

_S_e_e _A_l_s_o:

     'plotres', 'alrtest', 'ablrtest', 'blrtest', 'ca.jo', 'cajools',
     'lttest', 'ca.jo-class' and 'urca-class'.

_E_x_a_m_p_l_e_s:

     data(denmark)
     sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
     sjd.lst <- cajolst(sjd, trend=TRUE, K=2, season=4)
     summary(sjd.lst)

