Johansen
why don't you select your lags based on the VAR model, and take use it for the VECM? (with one lag less than VAR!) see: ?VARselect Hope this help Btw, next time, provide reproducible code please! karla hernandez villafuerte a ?crit :
Dear Members:
I am working with the function ca.jo from the URCA package in order to know the range of cointegration between two variables. I am trying to calculate the optimum value of the lags (called K in the function). But the package does not provide the AIC and the logLink values for objets like this.
I am using the function like in the following example:
ca.jo(YX, type = c("trace"), ecdet = c("none"), K = 2, spec=c("longrun"), season = NULL, dumvar = NULL)
I want to ask if someone knows a way to calculate the k optimum.
Thanks a lot!
Karla Hern?ndez
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