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

[RON70]

Thanks Bernhard for this reply.

However actually I was thinking there might be some matrix property for any
rxn (rank "r") matrix to equivalently explain in a combination of Identity
and rx(n-r) matrices. Is it so? Actually I got this feeling from a statement
saying that, "normalization is always possible if variables arranged
properly". Therefore suppose I have some economic theory to express C.I.
vectors in original term i.e. arbitrary C.I. matrix, based on some
economics. Then I arrange them i.e. do matrix manipulation to make C.I.
matrix Normalized i.e. let say, I have following original C.I. matrix (based
on some economics) on 10 variables :

n = 10
r = 4
C.I.matrix = matrix(rnorm(10*4), 4)

Now I want to make it (I[4], C.I.matrix.modified[4x6] )

Here I am rather interested is there any R function to do this kind of
"matrix-normalization", not so interested to get a "already normalized" C.I.
matrix.

Is there any?

Thanks



Pfaff, Bernhard Dr. wrote:
> 
>>-----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,
>>-- 
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