[R-SIG-Finance] [R-sig-finance] A question on VECM

Pfaff, Bernhard Dr. Bernhard_Pfaff at fra.invesco.com
Wed Jun 3 14:11:47 CEST 2009

>-----Ursprüngliche Nachricht-----
>Von: r-sig-finance-bounces at stat.math.ethz.ch 
>[mailto:r-sig-finance-bounces at stat.math.ethz.ch] Im Auftrag von RON70
>Gesendet: Mittwoch, 3. Juni 2009 10:19
>An: r-sig-finance at stat.math.ethz.ch
>Betreff: [R-SIG-Finance] [R-sig-finance] A question on VECM
>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 
>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?

Dear Ron?

have you considered the CRAN package 'urca' and there the function cajorls()?



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