[R] Function: VECM (Johansen)

[Pfaff, Bernhard]

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	       manually fixed and approved, MM]


Dear R-list,

R: 1.5.1
OS: Windows NT
additional packages needed: tseries

for those of you who are interested, pls. find attached a function for
estimating VECM's by employing the method of Johansen (see for example:
Hamilton, "Time Series Analysis, Chapter 21").

Arguments:

y:		data matrix
adf:		logical, indicating wether Augmented-Dickey-Fuller Tests
should be calculated or not.
dtt:		logical, wether the data matrix y is governed by a
deterministic trend, too.
graph:	logical, diagram of fits (level and first differences of the y
series and impulse response 			functions).
pvar:		integer, how many lags the underlying VAR should have. Note,
the number of lags in the VECM is one 		order smaller than the
VAR-order is.
ira:		integer, number of periods for the impulse response
function.


Output:

ALPHA:	vector of constants.
PSI0:		Error-Correction-Matrix
PSI:		Array of matrices for the lagged differences of y.
OMEGA:	Variance/Covariance matrix.
ENDOG:	Matrix of endogenous variables (1st differences).
FITTEDD:	Fitted values in 1st differences.
FITTEDL:	Fitted values in levels.
IRA:		Array of Impulse Responses

Note, this function runs only in interactive mode: the user has to supply
the number cointegrating vectors after the function returns the trace and
rank statistic.
Note, for Non-Windows users adjust the lines:

if (file.access("graph_y1_L.jpg")==0)
      {
        system(paste("cmd /c cd ", getwd(), " && del /q *.jpg", sep=""))
      }

accordingly to your OS.
Any comments are appreciated.

Bernhard




 <<johann.R>>


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