[R] MacKinnon critical value

[Pfaff, Bernhard Dr.]

Hello Lee,

in addition to David's answer, see: ?MacKinnonPValues in package 'urca' (CRAN and R-Forge). 

Best,
Bernhard

> -----Ursprüngliche Nachricht-----
> Von: r-help-bounces at r-project.org 
> [mailto:r-help-bounces at r-project.org] Im Auftrag von David Winsemius
> Gesendet: Freitag, 6. Mai 2011 04:46
> An: Lee Schulz
> Cc: R-help at r-project.org
> Betreff: Re: [R] MacKinnon critical value
> 
> 
> 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+Gra
nger+mackinnon&max=100> &result=normal&sort=score&idxname=functions&idxname=Rhelp08&id
xname=Rhelp10&idxname=Rhelp02
> 
> --
> David Winsemius, MD
> West Hartford, CT
> 
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