[R] cointegration rank

[Pfaff, Bernhard Dr.]

Thanks a lot!

I have another question on "cointegration", so I will go on this post.

Is it possible to estimate a cointegration with some exogenous
explanatory variables? Since, after testing for exogeneity, I would like
to re-estimate the relation keeping some of the previous endogenous as
exogenous.

Many thanks!

Carlo


Hello Carlo,

you can use the 'dumvar' argument for his purpose, and exclude the relevant
variables from your data matrix 'x'.

HTH,
Bernhard


On Nov 21, 2005 11:21 AM, "Pfaff, Bernhard Dr."
<Bernhard_Pfaff at fra.invesco.com> wrote:

> 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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