> mysample <- cbind(X1,X2,X3,X4)

> myvecm <- ca.jo(mysample, ecdet = "const", type="eigen", K=2, spec="longrun")

> myvecm

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# Johansen-Procedure Unit Root / Cointegration Test #

#####################################################

The value of the test statistic is: 1.4814 6.8852 10.1941 19.0711

> summary(myvecm)

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# Johansen-Procedure #

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Test type: maximal eigenvalue statistic (lambda max) , without linear trend and constant in cointegration

Eigenvalues (lambda):

[1] 6.219413e-02 3.374104e-02 2.291576e-02 4.975326e-03 5.899570e-18

Values of teststatistic and critical values of test:

test 10pct 5pct 1pct

r <= 3 | 1.48 7.52 9.24 12.97

r <= 2 | 6.89 13.75 15.67 20.20

r <= 1 | 10.19 19.77 22.00 26.81

r = 0 | 19.07 25.56 28.14 33.24

Eigenvectors, normalised to first column:

(These are the cointegration relations)

X1.l2 X2.l2 X3.l2 X4.l2 constant

X1.l2 1.0000000 1.00000000 1.000000e+00 1.0000000 1.00000

X2.l2 -13.4606755 0.05012407 -4.229465e-01 0.2062215 168.98883

X3.l2 14.6636224 -0.25491299 -6.044102e-03 -3.1153455 29.80024

X4.l2 -0.7271033 0.52004658 -1.627988e-01 2.2019219 -192.13799

constant -1118.6413405 -905.29920115 -2.449373e+02 90.7496618 -1410.17106

Weights W:

(This is the loading matrix)

X1.l2 X2.l2 X3.l2 X4.l2 constant

X1.d 0.002180911 -0.02802099 -0.02246478 0.0003522903 -3.141235e-18

X2.d 0.007417964 -0.02497527 0.03282100 0.0017254493 -3.120297e-17

X3.d 0.001519561 -0.02698047 0.03497633 0.0023286731 -1.246647e-17

X4.d 0.000565004 -0.05822246 0.06111445 0.0001316755 -1.841759e-17