library(urca) set.seed(12345) e1 <- rnorm(250, 0, 0.5) e2 <- rnorm(250, 0, 0.5) e3 <- rnorm(250, 0, 0.5) u1.ar1 <- arima.sim(model = list(ar = 0.75), innov = e1, n = 250) u2.ar1 <- arima.sim(model = list(ar = 0.3), innov = e2, n = 250) y3 <- cumsum(e3) y1 <- 0.8 * y3 + u1.ar1 y2 <- -0.3 * y3 + u2.ar1 y.mat <- data.frame(y1, y2, y3) vecm <- ca.jo(y.mat) jo.results <- summary(vecm) vecm.r2 <- cajorls(vecm, r = 2) class(jo.results) slotNames(jo.results)