Conducts a likelihood ratio test for no inclusion of a linear trend in a VAR. That is, the Null hypothesis is for not including a linear trend and is assigned as 'H2*(r)'. The test statistic is distributed as χ2 square with (p−r) degrees of freedom.
latin1
lttest(z, r)
Arguments
z: An object of class `ca.jo'.
r: The count of cointegrating relationships.
Details
The count of cointegrating relations should be given as integer and should be in the interval 1≤r<P.
Returns
lttest: Matrix containing the value of the test statistic and its p-value.
References
Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration -- with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 2 , 169--210.
Johansen, S. (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica, Vol. 59, No. 6 , 1551--1580.