[R] cointegration rank

[Pfaff, Bernhard Dr.]

Hello Carlo,

no, this is not possible, per se. In case of a structural break in terms of
a one-time level shift, you might want to consider the function cajolst().
Another possibility would be to run a regression with the dummy-variables
and use the fitted values for your data matrix x. That is, the data is
'pre-filtered' by the impact of the dummy variables.

HTH,
Bernhard


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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