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Reply To: Issue with JohansenTest

Home 21090308 Forums Numerical Method Bug Reports Issue with JohansenTest Reply To: Issue with JohansenTest

#2804
hao.ding
Member

Hi Kevin,

I tested your data in both SuanShu and R, the statistics are:
R:
test 10pct 5pct 1pct
r <= 1 | 4.52 6.50 8.18 11.65 r = 0 | 5.37 12.91 14.90 19.19 SuanShu: eigen stats = [5.369706, 4.521464] The results are same up to 2 digits. Therefore I think the computation results for statistics are correct. (R commands: library(urca) reEigen<-ca.jo(data.frame(data1, data2), type="eigen", ecdet="none",K=2) summary(reEigen) ) I do not understand the part on t test. Do you mean p(x<=4.52) should be 0.3 but SuanShu returns 0.77? If so may I take a look at the codes? Thanks.