Johansen trace test for cointegration
Usage
morie_johansen_cointegration(x, k_ar_diff = 1)
Arguments
- x
Numeric matrix (T x k) of I(1) candidate series.
- k_ar_diff
Number of lagged differences. Default 1.
Value
Named list with eigenvalues, trace_stat, crit_values,
rank, n, k, method.
Examples
# See the package vignettes for usage examples:
# vignette(package = "rmorie")