[R] cointegration rank

[Pfaff, Bernhard Dr.]

Dear R - helpers,

I am using the urca package to estimate cointegration relations, and I
would be really grateful if somebody could help me with this questions:

After estimating the unrestriced VAR with "ca.jo" I would like to impose
the rank restriction (for example rank = 1) and then obtain the
restricted estimate of PI to be utilized to estimate the VECM model.

Is it possible? 

It seems to me that the function "cajools" estimates the VECM without
the restrictions. Did I miss something? How is it possible to impose
them?

Thanks a lot in advance!

Carlo


Hello Carlo,

you can achieve this, by calculating your desired PI-matrix by hand, given
the slots 'V' and 'W' of your ca.jo object and then execute a restricted
OLS-estimation, if I understand your goal correctly. 
Please, bear in mind the non-uniqueness of the factorization of the
PI-matrix by doing so.

HTH,
Bernhard    


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