35 3775 3712 3742 2251200 3617 946 3 31 2006 3962 4019 3922 3985 3045900 3852

# 35 3775 3712 3742 2251200 3617 946 3 31 2006 3962

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24 2006 37.35 37.75 37.12 37.42 2251200 36.17 .... 946 3 31 2006 39.62 40.19 39.22 39.85 3045900 38.52 > dim(da) [1] 946 9 > bhp=log(da[,9]) > vale=log(da1[,9]) > plot(bhp,type=’l’) > plot(vale,type=’l’) > m1=lm(bhp~vale) > summary(m1) 13
Call: lm(formula = bhp ~ vale) Residuals: Min 1Q Median 3Q Max -0.151818 -0.028265 0.003121 0.029803 0.147105 Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 1.822648 0.003662 497.7 <2e-16 *** vale 0.716664 0.002354 304.4 <2e-16 *** --- Residual standard error: 0.04421 on 944 degrees of freedom Multiple R-squared: 0.9899, Adjusted R-squared: 0.9899 F-statistic: 9.266e+04 on 1 and 944 DF, p-value: < 2.2e-16 > bhp1=ts(bhp,frequency=252,start=c(2002,127)) > vale1=ts(vale,frequency=252,start=c(2002,127)) > plot(bhp1,type=’l’) > plot(vale1,type=’l’) > x=cbind(bhp,vale) > m1=ar(x) > m1\$order [1] 2 > m2=ca.jo(x,K=2) > summary(m2) ###################### # Johansen-Procedure # ###################### Test type: maximal eigenvalue statistic (lambda max) , with linear trend Eigenvalues (lambda): [1] 0.0406019854 0.0000101517 Values of teststatistic and critical values of test: test 10pct 5pct 1pct r <= 1 | 0.01 6.50 8.18 11.65 r = 0 | 39.13 12.91 14.90 19.19 14
Eigenvectors, normalised to first column: (These are the cointegration relations) bhp.l2 vale.l2 bhp.l2 1.000000 1.000000 vale.l2 -0.717784 2.668019 Weights W: (This is the loading matrix) bhp.l2 vale.l2 bhp.d -0.06272119 -2.179372e-05 vale.d 0.03303036 -3.274248e-05 > m3=ca.jo(x,K=2,type=c("trace")) > summary(m3) ###################### # Johansen-Procedure # ###################### Test type: trace statistic , with linear trend Eigenvalues (lambda): [1] 0.0406019854 0.0000101517 Values of teststatistic and critical values of test: test 10pct 5pct 1pct r <= 1 | 0.01 6.50 8.18 11.65 r = 0 | 39.14 15.66 17.95 23.52 Eigenvectors, normalised to first column: (These are the cointegration relations) bhp.l2 vale.l2 bhp.l2 1.000000 1.000000 vale.l2 -0.717784 2.668019 Weights W: 15
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