[R] question of VECM restricted regression

[Pfaff, Bernhard Dr.]

Hello Meilan:

'ect' is shorthand for error-correction-term, 'sd' signify seasonal dummy variables and 'LRM.dl1' is the lagged first difference of the variable 'LRM' (the log of real money demand).

HTH,
Bernhard 

> -----Ursprüngliche Nachricht-----
> Von: r-help-bounces at r-project.org 
> [mailto:r-help-bounces at r-project.org] Im Auftrag von Meilan Yan
> Gesendet: Freitag, 29. April 2011 11:10
> An: bernhard.pfaff at pfaffikus.de; r-help at r-project.org
> Betreff: [R] question of VECM restricted regression
> 
> Dear Colleague
> 
>   I am trying to figure out how to use R to do OLS restricted 
> VECM regression. However, there are some notation I cannot understand.
> 
> Please tell me what is 'ect',  'sd' and 'LRM.dl1  in the 
> following practice:
> 
> #OLS retricted VECM regression
> data(denmark)
> sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
> sjd.vecm<- ca.jo(sjd, ecdet = "const", type="eigen", K=2, 
> spec="longrun",
> season=4)
> sjd.vecm.rls<-cajorls(sjd.vecm,r=1)
> summary(sjd.vecm.rls$rlm)
> sjd.vecm.rls$beta
> 
> Response LRM.d :
> Call:
> lm(formula = substitute(LRM.d), data = data.mat)
> 
> Residuals:
>       Min        1Q    Median        3Q       Max
> -0.027598 -0.012836 -0.003395  0.015523  0.056034
> 
> Coefficients:
>          Estimate Std. Error t value Pr(>|t|)
> ect1    -0.212955   0.064354  -3.309  0.00185 **
> sd1     -0.057653   0.010269  -5.614 1.16e-06 ***
> sd2     -0.016305   0.009177  -1.777  0.08238 .
> sd3     -0.040859   0.008767  -4.660 2.82e-05 ***
> LRM.dl1  0.049816   0.191992   0.259  0.79646
> LRY.dl1  0.075717   0.157902   0.480  0.63389
> IBO.dl1 -1.148954   0.372745  -3.082  0.00350 **
> IDE.dl1  0.227094   0.546271   0.416  0.67959
> 
> > sjd.vecm.rls$beta
>               ect1
> LRM.l2    1.000000
> LRY.l2   -1.032949
> IBO.l2    5.206919
> IDE.l2   -4.215879
> 
> 
> Many thanks
> Meilan
> 
> 
> 
> 
> 
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> 
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