library(tseries) library(urca) data(Raotbl3) attach(Raotbl3) lc <- ts(lc, start=c(1966,4), end=c(1991,2), frequency=4) li <- ts(li, start=c(1966,4), end=c(1991,2), frequency=4) lw <- ts(lw, start=c(1966,4), end=c(1991,2), frequency=4) ukcons <- window(cbind(lc, li, lw), start=c(1967, 2), end=c(1991,2)) lc.eq <- summary(lm(lc ~ li + lw, data=ukcons)) li.eq <- summary(lm(li ~ lc + lw, data=ukcons)) lw.eq <- summary(lm(lw ~ li + lc, data=ukcons)) error.lc <- ts(resid(lc.eq), start=c(1967,2), end=c(1991,2), frequency=4) error.li <- ts(resid(li.eq), start=c(1967,2), end=c(1991,2), frequency=4) error.lw <- ts(resid(lw.eq), start=c(1967,2), end=c(1991,2), frequency=4) ci.lc <- ur.df(error.lc, lags=1, type='none') ci.li <- ur.df(error.li, lags=1, type='none') ci.lw <- ur.df(error.lw, lags=1, type='none') jb.lc <- jarque.bera.test(error.lc) jb.li <- jarque.bera.test(error.li) jb.lw <- jarque.bera.test(error.lw)