Which value is the regression factor (beta) in the test summary using jcitest (Johansen cointegration)?

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James
James 2021-8-23
回答： the cyclist 2021-8-24
I am using the function jcitest to test for cointegration.
I am not sure which value corresponds to the regression factor - stat, cValue, eigVal. Is it listed in the results summary and if so, which one is it?
See below:
Results Summary (Test 1)
Data: Y1
Effective sample size: 680
Model: H1
Lags: 0
Statistic: trace
Significance level: 0.05
r h stat cValue pValue eigVal
----------------------------------------
0 0 9.5958 15.4948 0.3568 0.0090
1 0 3.4491 3.8415 0.0633 0.0051

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回答（1 个）

the cyclist
the cyclist 2021-8-24
I am not familiar with this function, but from looking at the documentation, it looks like the parameter estimates are in the 5th output, mles.
Take a look at this documentation page for details.

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