Tell me more ×
Cross Validated is a question and answer site for statisticians, data analysts, data miners and data visualization experts. It's 100% free, no registration required.
up vote 0 down vote favorite

I am new to R and cointegration so please have patience with me as I try to explain what it is that I am trying to do. I am trying to find cointegrated variables among 1500-2000 voltage variables in the west power system in Canada/US. THe frequency is hourly (common in power) and cointegrated combinations can be as few as N variables and a maximum of M variables.

I tried to use ca.jo but here are issues that I ran into:

1) ca.jo (Johansen) has a limit to the number of variables it can work with

2) ca.jo appears to force the first variable in the y(t) vector to be the dependent variable (see below).

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

         V1.l2        V2.l2        V3.l2 
V1.l2    1.0000000    1.0000000    1.0000000   
V2.l2   -0.2597057   -2.3888060   -0.4181294   
V3.l2   -0.6443270   -0.6901678    0.5429844

As you can see ca.jo tries to find linear combinations of the 3 variables but by forcing the coefficient on the first variable (in this case V1) to be 1 (i.e. the dependent variable). My understanding was that ca.jo would try to find all combinations such that every variable is selected as a dependent variable. You can see the same treatment in the examples given in the documentation for ca.jo.

3) ca.jo does not appear to find linear combinations of fewer than the number of variables in the y(t) vector. So if there were 5 variables and 3 of them are cointegrated (i.e. V1 ~ V2 + V3) then ca.jo fails to find this combination. Perhaps I am not using ca.jo correctly but my expectation was that a cointegrated combination where V1 ~ V2 + V3 is the same as V1 ~ V2 + V3 + 0 x V4 + 0 x V5. In other words the coefficient of the variable that are NOT cointegrated should be zero and ca.jo should find this type of combination.

I would greatly appreciate some further insight as I am fairly new to R and cointegration and have spent the past 2 months teaching myself.

Thank you.

share|improve this question
@user4294 Your two recent posts let me wonder what you really expect from the SE community. They were removed as this is not a very constructive way of envisionning SE Q&A sites in general, nor a very elegant way to address stats.SE users. You asked your question less than 24h ago, so it would be fair to wait a little bit. I hope you will get some prompt responses for the same question you posted 3 hours after on stackexchange. And I close this one right now. – chl♦ Apr 23 '11 at 20:49
@user4294, why would you think that voltage variables would be cointegrated in the first place? I don't see how that makes any sense. – cardinal Apr 23 '11 at 21:51

closed as off topic by chl♦ Apr 23 '11 at 20:55

Questions on Cross Validated are expected to relate to statistics within the scope defined in the FAQ. Consider editing the question or leaving comments for improvement if you believe the question can be reworded to fit within the scope. Read more about closed questions here.