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

[Pfaff, Bernhard Dr.]

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,
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