[R] VECM with UNRESTRICTED TREND

[renoir vieira]

Dear Pfaff,

Would that be possible to fit a Time varying VECM using urca?

Yours,
Renoir

On Thursday, March 31, 2011, Grzegorz Konat <grzegorz.konat at ibrkk.pl> wrote:
> The code you gave me works fine with Finland, but the same for my data -
> does not!
> I do:
>
> library(urca)
> data(my.data)
> dat1 <- my.data[, c("dY", "X", "dM")]
> trend <- matrix(1:nrow(dat1), ncol = 1)
> colnames(trend) <- "trd"
> yxm.vecm <- ca.jo(dat1, type = "trace", ecdet = "const", K = 2, spec =
> "longrun", dumvar = trend)
>
> and the result is again:
>
> Error in r[i1, , drop = FALSE] - r[-nrow(r):-(nrow(r) - lag + 1L), , drop =
> FALSE] :
>   non-numeric argument to binary operator
>
> I attach my dataset in xls format. If you have 5 minutes and wish to check
> it out, I'd be extremely grateful!
>
> Best,
> Greg
>
>
>
> 2011/3/31 Pfaff, Bernhard Dr. <Bernhard_Pfaff at fra.invesco.com>
>
>>  Well, without further information, I do not know, but try the following
>>
>> library(urca)
>> example(ca.jo)
>> trend <- matrix(1:nrow(sjf), ncol = 1)
>> colnames(trend) <- "trd"
>> ca.jo(sjf, type = "trace", ecdet = "const", K = 2, spec = "longrun",
>> dumvar = trend)
>>
>> Best,
>> Bernhard
>>
>>
>>
>>  ------------------------------
>> *Von:* Grzegorz Konat [mailto:grzegorz.konat at ibrkk.pl]
>> *Gesendet:* Donnerstag, 31. März 2011 14:40
>>
>> *An:* Pfaff, Bernhard Dr.; r-help at r-project.org
>> *Betreff:* Re: [R] VECM with UNRESTRICTED TREND
>>
>> 'time' was a trend variable from my.data set. Equivalent to the output of
>> the command 'matrix' you just gave me.
>>
>> So now I did:
>>
>>  library(urca)
>> data(my.data)
>> names(my.data)
>> attach(my.data)
>> dat1 <- my.data[, c("dY", "X", "dM")]
>> mat1 <- matrix(seq(1:nrow(dat1)), ncol = 1)
>> args('ca.jo')
>> yxm.vecm <- ca.jo(dat1, type = "trace", ecdet = "const", K = 2, spec =
>> "longrun", dumvar=mat1)
>>
>> and the output is:
>>
>>  Error in r[i1, , drop = FALSE] - r[-nrow(r):-(nrow(r) - lag + 1L), , drop
>> = FALSE] :
>>   non-numeric argument to binary operator
>> In addition: Warning message:
>> In ca.jo(dat1, type = "trace", ecdet = "const", K = 2, spec = "longrun",
>>  :
>> No column names in 'dumvar', using prefix 'exo' instead.
>>
>> What do I do wrong?
>>
>> Best,
>> Greg
>>
>>
>> 2011/3/31 Pfaff, Bernhard Dr. <Bernhard_Pfaff at fra.invesco.com>
>>
>>>
>>>
>>>
>>>  Hello Bernhard,
>>>
>>> thank You so much one again! Now I (more or less) understand the idea, but
>>> still have problem with its practical application.
>>>
>>> I do (somewhat following example 8.1 in your textbook):
>>>
>>>  library(urca)
>>> data(my.data)
>>> names(my.data)
>>> attach(my.data)
>>> dat1 <- my.data[, c("dY", "X", "dM")]
>>> dat2 <- cbind(time)
>>>
>>> What is 'time'? Just employ matrix(seq(1:nrow(dat1)), ncol = 1) for
>>> creating the trend variable.
>>>
>>> Best,
>>> Bernhard
>>>
>>>
>>>  args('ca.jo')
>>> yxm.vecm <- ca.jo(dat1, type = "trace", ecdet = "trend", K = 2, spec =
>>> "longrun", dumvar=dat2)
>>>
>>> The above code produces following output:
>>>
>>>  Error in r[i1, , drop = FALSE] - r[-nrow(r):-(nrow(r) - lag + 1L), ,
>>> drop = FALSE] :
>>>   non-numeric argument to binary operator
>>>
>>> What does that mean? Should I use cbind command to dat1 as well? And
>>> doesn't it transform the series into series of integer numbers?
>>>
>>> Thank you once again (especially for your patience).
>>>
>>> Best,
>>> Greg
>>>
>>>
>>>
>>> 2011/3/31 Pfaff, Bernhard Dr. <Bernhard_Pfaff at fra.invesco.com>
>>>
>>>>  Hello Greg,
>>>>
>>>> you include your trend as a (Nx1) matrix and use this for 'dumvar'. The
>>>> matrix 'dumvar' is just added to the VECM as deterministic regressors and
>>>> while you are referring to case 5, this is basically what you are after, if
>>>> I am not mistaken. But we aware that this implies a quadratic trend for the
>>>> levels