Hello Bernhard,

Thank You very much. Unfortunately I'm still not really sure how should I
use dummy vars in this context...
If I have a system of three variables (x, y, z), lag order = 2 and 1
cointegrating relation, what should I do? I mean, what kind of 'pattern'
should be used to create those dummy variables, what should they represent
and how many of them do I need?

Many thanks in advance!

Best,
Greg

2011/3/30 Pfaff, Bernhard Dr. <Bernhard_Pfaff@fra.invesco.com>

> Hello Greg,
>
> you can exploit the argument 'dumvar' for this. See ?ca.jo
>
> Best,
> Bernhard
>
> > -----Ursprüngliche Nachricht-----
> > Von: r-help-bounces@r-project.org
> > [mailto:r-help-bounces@r-project.org] Im Auftrag von Grzegorz Konat
> > Gesendet: Mittwoch, 30. März 2011 16:46
> > An: r-help@r-project.org
> > Betreff: [R] VECM with UNRESTRICTED TREND
> >
> > Dear All,
> >
> > My question is:
> >
> > how can I estimate VECM system with "unrestricted trend" (aka
> > "case 5") option as a deterministic term?
> >
> > As far as I know, ca.jo in urca package allows for "restricted trend"
> > only [vecm
> > <- ca.jo(data, type = "trace"/"eigen", ecdet = "trend", K =
> > n, spec = "transitory"/"longrun")].
> > Obviously, I don't have to do this in urca, so if another
> > package gives the possibility, please let me know too!
> >
> > Thanks in advance!
> >
> > Greg
> >
> >       [[alternative HTML version deleted]]
> >
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> > http://www.R-project.org/posting-guide.html
> > and provide commented, minimal, self-contained, reproducible code.
> >
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