[R] The weak exogeneity test in R for the Error Correction Model?

Pfaff, Bernhard Dr. Bernhard_Pfaff at fra.invesco.com
Tue Jun 4 15:42:53 CEST 2013

Hello Rebecca,

Set up your your model as a bivariate VECM (use ca.jo() and create a matrix of your x and y variables) and invoke alrtest() on the returned object as already mentioned by you. See the example section of alrtest for how accomplishing this.

Dr. Bernhard Pfaff
Global Asset Allocation

Invesco Asset Management Deutschland GmbH
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----- Originalnachricht -----
Von: Yuan, Rebecca [mailto:rebecca.yuan at bankofamerica.com]
Gesendet: Tuesday, May 28, 2013 05:16 PM
An: R help <r-help at r-project.org>
Betreff: [R] The weak exogeneity test in R for the Error Correction Model?

Hello all,

I would like to carry out a single-equation approach of the Error Correction Model such as

Delta_y(t) = a + b*y(t-1) + c*x1(t-1) + d*x2(t-1) + e*delta_x1(t) + f*delta_x2(t) + epsilon(t)

Where, a, b, c, d, e, f are coefficients to be estimated, y is the dependent variable, and x1, x2 are independent variables.

For the single equation approach of ECM, there is a requirement of the weak exogeneity. How could I carry out the test to see if there is weak exogeneity in the above system?

I read the book "Bernhard-Analysis of Integrated and Cointegrated Time Series" where in section 8.1.3 it uses alrtest() for the weak exogeneity test. But that is for the vector ECM, where y is of five components, where in my example, y is a scalar, only one component. What would be the best way for me to test the weak exogeneity for the above approach ECM?


Thanks very much!



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