Re: [R] MacKinnon critical value

From: David Winsemius <dwinsemius_at_comcast.net>
Date: Thu, 05 May 2011 22:45:46 -0400

On May 5, 2011, at 9:10 PM, Lee Schulz wrote:

> Hello,
>
>
>
> I am doing an Engle Granger test on the residuals of two I(1)
> processes.
> I would like to get the MacKinnon (1996) critical value, say at
> 10%. I
> have 273 observations with 5 integrated explanatory variables , so
> that
> k=4. Could someone help me with the procedure in R?

See if this helps:

http://search.r-project.org/cgi-bin/namazu.cgi?query=Engle+Granger+mackinnon&max=100&result=normal&sort=score&idxname=functions&idxname=Rhelp08&idxname=Rhelp10&idxname=Rhelp02

-- 
David Winsemius, MD
West Hartford, CT

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Received on Fri 06 May 2011 - 02:49:39 GMT

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