library(urca) library(vars) ## Loading data set and converting to zoo data(EuStockMarkets) Assets <- as.zoo(EuStockMarkets) ## Aggregating as month's-end series AssetsM <- aggregate(Assets, as.yearmon, tail, 1) head(AssetsM) ## Applying unit root tests for sub-sample AssetsMsub <- window(AssetsM, start = start(AssetsM), end = "Jun 1996") ## Levels ADF <- lapply(AssetsMsub, ur.df, type = "drift", selectlags = "AIC") ERS <- lapply(AssetsMsub, ur.ers) ## Differences DADF <- lapply(diff(AssetsMsub), ur.df, selectlags = "AIC") DERS <- lapply(diff(AssetsMsub), ur.ers) ## VECM VEC <- ca.jo(AssetsMsub, ecdet = "none", spec = "transitory") summary(VEC)