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

[Pfaff, Bernhard Dr.]

>-----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 
>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?
>

Dear Ron?

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

library(urca)
example(cajorls)

Best,
Bernhard


>Regards,
>-- 
>View this message in context: 
>http://www.nabble.com/A-question-on-VECM-tp23847406p23847406.html
>Sent from the Rmetrics mailing list archive at Nabble.com.
>
>_______________________________________________
>R-SIG-Finance at stat.math.ethz.ch mailing list
>https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>-- Subscriber-posting only.
>-- If you want to post, subscribe first.
>
*****************************************************************
Confidentiality Note: The information contained in this ...{{dropped:10}}