[R] Cointegration and ECM in Package {urca}
Pfaff, Bernhard Dr.
Bernhard_Pfaff at fra.invesco.com
Tue Dec 16 09:32:51 CET 2008
>
>Dear R Core Team,
>
>
>
>I am using package {urca} to do cointegration and estimate ECM model,
>but I have the following two problems:
>
>
>
>(1) I use ca.jo() to do cointegration first and can get the
>cointegration rank, alpha and beta. The next step is to test some
>restrictions on beta with blrtest(),bh5lrtest(), and bh6lrtest(). But
>none of them can add restrictions on all the cointegration equations at
>the same time if have more than one cointegration rank. For example,
>there are three cointegration in my case. I want to add three
>different
>restrictions on them at the same time. What can I do?
Dear Christine,
would you be so kind and give a more precise example of what you would
like to achieve?
The examples in the above mentioned functions are replications of the
results in:
Johansen, S. and Juselius, K. (1990), Maximum Likelihood
Estimation and Inference on Cointegration - with Applications to
the Demand for Money, _Oxford Bulletin of Economics and
Statistics_, *52, 2*, 169-210.
>
>(2) What I want to do is to estimate ECM model with imposing
>restriction on beta or on both alpha and beta at the same time. It
>looks like that command cajo.test() can do this estimation.
>It shows up
>in the package but there is no example there. I tried to find some
>examples but I cannot find any even if I have read the book
>Analysis of
>Integrated and Cointegrated Time Series with R. Can you show me how to
>use this command or some examples?
There is no function cajo.test() contained in the package urca. Have you
meant ablrtest() instead? If so, have a look at the example and the
above given reference as well as:
Johansen, S. (1991), Estimation and Hypothesis Testing of
Cointegration Vectors in Gaussian Vector Autoregressive Models,
_Econometrica_, *Vol. 59, No. 6*, 1551-1580.
Best,
Bernhard
>
>
>
>Thank you very much in advance. Best wishes.
>
>
>
>Christina
>
>
>
>
> [[alternative HTML version deleted]]
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