cointegration using engle_granger_test in r

To perform cointegration analysis using the Engle-Granger test in R, you can use the ca.jo() function from the "urca" package. Here's an example of how to do it:

# Install and load the necessary packages
install.packages("urca")
library(urca)

# Create your time series data
ts1 <- ts(c(1, 2, 3, 4, 5))
ts2 <- ts(c(2, 4, 6, 8, 10))
data <- data.frame(ts1, ts2)

# Perform the Engle-Granger cointegration test
result <- ca.jo(data, type = "eigen", K = 2)

# Print the test results
summary(result)
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In the above example, we create two time series ts1 and ts2, and combine them into a data frame data. Then, we use the ca.jo() function to perform the Engle-Granger cointegration test on data. The type = "eigen" specifies that we want to use the Johansen procedure based on eigenvalues. The K = 2 sets the maximum number of cointegrating equations to 2.

Finally, the summary() function is used to print a summary of the test results, including critical values and test statistics.

Note that you may need to install the "urca" package before running the code, as shown in the example.