[R-SIG-Finance] [R-sig-finance] A question on VECM
Pfaff, Bernhard Dr.
Bernhard_Pfaff at fra.invesco.com
Thu Jun 4 11:43:10 CEST 2009
Dear Ron,
if I understand you correctly, you have a-priori knowledge about some of the CI-relations? If so, why don't you compute them in advance and then work further? This would also reduce the dimension of your VECM.
Best,
Bernhard
ps: Incidentally, the returned list element 'beta' of cajorls is computed pretty much in sync what you have quoted, i.e., "normalization is always possible if variables arranged properly".
>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: Donnerstag, 4. Juni 2009 11:30
>An: r-sig-finance at stat.math.ethz.ch
>Betreff: Re: [R-SIG-Finance] [R-sig-finance] A question on VECM
>
>
>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,
>>>--
>>>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}}
>>
>> _______________________________________________
>> 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.
>>
>>
>
>--
>View this message in context:
>http://www.nabble.com/A-question-on-VECM-tp23847406p23866615.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.
>
More information about the R-SIG-Finance
mailing list