2nd Generation panel cointegration in R

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Joao Carlos Souza Marques

here is an answer I got, see if it helps

# Load necessary libraries library(plm) library(lmtest) # Read in data and convert to panel format data

Azer Dilanchiev

Joao Carlos Souza Marques , No it is not working :( I guess plm does not have 2nd generation panel cointegration option.

Here says it can:

1.> https://cran.r-project.org/web/packages/plm/vignettes/A_plmPackage.html

2.> https://cran.r-project.org/web/packages/plm/plm.pdf

try use the pctestW function

Joao Carlos Souza Marques There is nothing about 2nd generation panel cointegration mentioned.