# install.packages('ggplot2') # install.packages('xts') # install.packages('quantmod') # install.packages('broom') # install.packages('tseries') # install.packages("kableExtra") # install.packages("knitr") # install.packages("vars") # install.packages("urca") rm(list=ls()) library(tseries) library(dynlm) library(vars) library(nlWaldTest) library(lmtest) library(broom) library(car) library(sandwich) library(knitr) library(forecast) library(quantmod) setSymbolLookup(SHY='yahoo',SPY='yahoo') getSymbols(c('SHY','SPY')) y1 <- SPY$SPY.Adjusted y2 <- SHY$SHY.Adjusted time_series <- cbind(y1, y2) print('Our dataframe is:') colnames(time_series) <- c('SHY', 'SPY') head(time_series) adf.test(time_series$SHY) adf.test(time_series$SPY) print('p-values:') adf.test(time_series$SHY)$p.value adf.test(time_series$SPY)$p.value par(mfrow = c(2,1)) plot.ts(time_series$SHY, type='l') plot.ts(time_series$SPY, type='l') library(urca) johansentest <- ca.jo(time_series, type = "trace", ecdet = "const", K = 3) summary(johansentest) t <- cajorls(johansentest, r = 1) t