[R] cointegration rank

[Carlo Fezzi]

Another question on cointegration...

Is it possible to insert in the model dummy variables restricted in the
cointegration space?

Many thanks,

Carlo


On Nov 21, 2005 01:23 PM, "Pfaff, Bernhard Dr."
<Bernhard_Pfaff at fra.invesco.com> wrote:

> 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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