ca.po {urca} | R Documentation |
Phillips and Ouliaris Cointegration Test
Description
Performs the Phillips and Ouliaris "Pu"
and "Pz"
cointegration test.
Usage
ca.po(z, demean = c("none", "constant", "trend"),
lag = c("short", "long"), type = c("Pu", "Pz"), tol = NULL)
Arguments
z |
Data matrix to be investigated for cointegration. |
demean |
The method for detrending the series, either
|
lag |
Either a short or long lag number used for variance/covariance correction. |
type |
The test type, either |
tol |
Numeric, this argument is passed to |
Details
The test "Pz"
, compared to the test "Pu"
, has the
advantage that it is invariant to the normalization of the
cointegration vector, i.e. it does not matter which variable
is on the left hand side of the equation. In case convergence
problems are encountered by matrix inversion, one can pass a higher
tolerance level via "tol=..."
to the solve()
-function.
Value
An object of class ca.po
.
Author(s)
Bernhard Pfaff
References
Phillips, P.C.B. and Ouliaris, S. (1990), Asymptotic Properties of Residual Based Tests for Cointegration, Econometrica, Vol. 58, No. 1, 165–193.
See Also
Examples
data(ecb)
m3.real <- ecb[,"m3"]/ecb[,"gdp.defl"]
gdp.real <- ecb[,"gdp.nom"]/ecb[,"gdp.defl"]
rl <- ecb[,"rl"]
ecb.data <- cbind(m3.real, gdp.real, rl)
m3d.po <- ca.po(ecb.data, type="Pz")
summary(m3d.po)