Message-ID: <4BE514E3.6060308@gmail.com>
Date: 2010-05-08T07:38:11Z
From: Matthieu Stigler
Subject: Johansen
In-Reply-To: <COL124-W33875A9F3ACD54C38EDD79E5F60@phx.gbl>
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:
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>
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> ca.jo(YX, type = c("trace"), ecdet = c("none"), K = 2, spec=c("longrun"), season = NULL, dumvar = NULL)
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> I want to ask if someone knows a way to calculate the k optimum.
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> Thanks a lot!
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>
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> Karla Hern?ndez
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