Johansen Cointegration in S-plus

["Ellerton, Tim" <Tim.Ellerton@morganstanley.com>]

I want to use the s-plus coint function and get p.values for the trace/max eig. tests.  Is this possible?

 

Many thanks,

 

Tim

 

coint.johansen <- function(x, criterion="BIC", trend="rc", level=0.05, na.rm=T){
 n <- nrow(x)
 # Order Selection
 ord.choice <- VAR(y, max.ar=6, criterion=criterion)
 #cointegration test
 coint.tst <- coint(y, trend=trend, lags=max(1,ord.choice$ar.order-1)
 summary(coint.tst)

 

 #trace test and max eig. tests - Can I get the p-values here???

 

 #vecm
 vecm.fit <- VECM(cointst.rc, coint.rank=1)
 summary(vecm.fit)   
} 

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