R: Testing Cointegrating Rank with Level Shift at Unknown time

cajolst {urca} | R Documentation

## Testing Cointegrating Rank with Level Shift at Unknown time

### Description

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.

### Usage

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

### Arguments

`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.

### Details

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).

### Value

Returns an object of class `ca.jo`.

### Author(s)

Bernhard Pfaff

### References

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.

### See Also

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

### Examples

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

[Package urca version 1.3-0 Index]