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Use this tag for any *on-topic* question that (a) involves `R` either as a critical part of the question or expected answer, & (b) is not *just* about how to use `R`.
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Johansen Cointegration Test [duplicate]
Now my question:
When I apply the Johansen cointegration test (function ca.jo in "urca" package in R), should I test with the variables at level or at first difference? …
1
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1
answer
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Interpretation of ur.df - "p-value"?
z.diff.lag8 3.919041e-01 2.794371e-01 1.40248 0.1787705
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Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 6708593 on 17 degrees of freedom
Multiple R-squared … : 0.7237276, Adjusted R-squared: 0.5613144
F-statistic: 4.253547 on 10 and 17 DF, p-value: 0.003348755
Value of test-statistic is: -3.2263 3.9622 5.2635
Critical values for test statistics: …