[R-SIG-Finance] [R-sig-finance] Normalization and Cointegrating Vectors from VECM analysis

Guy Yollin guy.yollin at rotellacapital.com
Fri Jul 10 18:41:04 CEST 2009


Pfaff presents the details of the SVEC model in section 8.3 of his text "Analysis of Integrated and Cointegrated Time Series with R".

All of the scripts used in the text are available from his website:


Rcode-8-8.R through Rcode-8-17.R perform the analysis of the Canada dataset

Specifically, Rcode-8-13.R performs the calculation of t-stats and SEs for alpha and beta.


-- G

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