"johansen"<-

function(x, L = 2)

{

#Johansen Test of cointegration for multivariate time series x

#Returns vector of eigenvalues after that you are on your own.

#This is a modified version for R, in which rts is substituted by ts. 

        x <- ts(x)

        n <- nrow(x)

        p <- ncol(x)

        Ly <- lag(x[, 1], -1)

        D <- diff(x[, 1])

        for(i in 1:p) {

                if(i > 1) {

                        D <- ts.intersect(D, diff(x[, i]))

                        Ly <- ts.intersect(Ly, lag(x[, i], -1))

                }

                if(L > 0)

                        for(j in 1:L)

                                D <- ts.intersect(D, lag(diff(x[, i]),  - j))

        }

        iys <- 1 + (L + 1) * (0:(p - 1))

        Y <- D[, iys]

        X <- D[,  - iys]

        Ly <- ts.intersect(Ly, D)[, 1:p]

        ZD <- lm(Y ~ X)$resid

        ZL <- lm(Ly ~ X)$resid

        df <- nrow(X) - ncol(X) - 1

        S00 <- crossprod(ZD)/df

        S11 <- crossprod(ZL)/df

        S01 <- crossprod(ZD, ZL)/df

        M <- solve(S11) %*% t(S01) %*% solve(S00) %*% S01

        eigen(M)$values

}