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List:       r-sig-finance
Subject:    [R-SIG-Finance] Ca.jo function Help (v2)
From:       Nicolas Gomez <Nicolas.Gomez () evalueserve ! com>
Date:       2011-10-27 14:13:09
Message-ID: FAEEC78408936841B3BA1C680108DDD2D948946E () evs05scr01 ! Evalueserve ! com
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Hello,

I'm Nicolás, undergraduate student from Chile. Currently, I'm making a study about \
the construction of models to forecast the movements of the exchange rate. As part of \
the analysis, I'm trying to calculate the cointegration between two time series \
(exchange rate and price levels), and I'm using R for this. I've used the ca.jo \
function (Johansen Test for Cointegration) but I don't know how to read these \
results:

> datos_jo<-ca.jo(datos,ecdet="const", type="trace")
> 
> summary(datos_jo)

######################
# Johansen-Procedure #
######################

Test type: trace statistic , without linear trend and constant in cointegration

Values of teststatistic and critical values of test:

         test 10pct  5pct  1pct
r <= 1 | 1.67  7.52  9.24 12.97
r = 0  | 8.62 17.85 19.96 24.60

Eigenvectors, normalised to first column:
(These are the cointegration relations)

             ln.prices.l2 ln.erate.l2   constant
ln.prices.l2    1.0000000   1.0000000  1.0000000
ln.erate.l2     0.3571154   0.8922855 -0.1655117
constant       -1.6234952  -3.5156586  0.8264138

Weights W:
(This is the loading matrix)

            ln.prices.l2   ln.erate.l2      constant
ln.prices.d  -0.01825480  0.0007664841 -9.923320e-16
ln.erate.d   -0.09946629 -0.0024654855 -4.356132e-15

Basically, I'm trying to find two parameters (C and D) in a formula like this:  ln e, \
t+h - ln e, t = A + B (ln e, t - C - D ln P, t) + error, t ; to later make a \
regression and find the A and B values.

Thanks, and regards,

Nicolás Gómez


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