[R-SIG-Finance] [R-sig-finance] A question on VECM
ron_michael70 at yahoo.com
Wed Jun 3 10:19:14 CEST 2009
In my textbook, I found that for a vector error correction model, the "beta"
matrix i.e. which represents the co-integrating vectors can be represented
in a speacial matrix wherein first rxr partition is Identity matrix like :
beta[rxn] = (I(r), beta[rx(n-r)])
Is there any R function to do that representation?
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