Tim,
S-Plus only has tables from Osterwald-Lenum (1992) of the 95%
and 99% critical values for the various cases, it does not compute
p-values.
You can find a number of places on the web that have the
Osterwald-Lenum critical values for 50%, 80%, 90%, 95%, 97.5%, and 99%; for
example:
http://www2.warwick.ac.uk/fac/soc/economics/staff/faculty/jeremysmith/manual/statisticaltables.pdf
If you really want to calculate p-values, I would suggest the following
paper:
MacKinnon,
Haug, and Michelis,
"Numerical
distribution functions of likelihood ratio tests for cointegration,"
Journal
of Applied Econometrics, 14, 1999, 563-577
Available here:
http://www.econ.queensu.ca/faculty/mackinnon/papers/lrctest.pdf
And their FORTRAN software which calculates critical values and
p-values:
http://www.econ.queensu.ca/faculty/mackinnon/johtest/
Note, their results are somewhat different from Osterwald-Lenum.
Best,
-- G
From:
s-news-owner@lists.biostat.wustl.edu
[mailto:s-news-owner@lists.biostat.wustl.edu] On Behalf Of Ellerton, Tim
Sent: Wednesday, June 24, 2009 9:07 AM
To: s-news@lists.biostat.wustl.edu
Subject: [S] Johansen Cointegration in S-plus
I
want to use the s-plus coint function and get p.values for the trace/max
eig. tests. Is this possible?
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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