[R] cointegrating regression

From: Fredrik Berchtold (fberchtold@mail.bip.net)
Date: Fri 16 Feb 2001 - 00:48:38 EST

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Message-ID: <LPBBKAOHICHGIHDHGMBAMEDNCEAA.fberchtold@mail.bip.net>

Hi all,
Can I run a cointegrating regression, for example
delta Xt=a1(Yt-1-cXt-1)+E1t
and
delta Yt=-b1(Yt-1-cXt-1)+E2t
with R were
Xt and Yt are non stationary time series at t
a,b,c are parameters and E1t and E2t are error terms at t.
Yt-Xt is stationary
Any suggestions are welcome.
Best regards,
/fb
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