[R-SIG-Finance] error correction model - general specification

[Arun.stat]

Lutkepohl discusses explicitly on how to choose optimum number of lags and
how to incorporate seasonal dummy variables (like monthly, quarterly) with
asymptotic distributions of corresponding estimated parameters.

Best,



Gautier RENAULT wrote:
> 
> Hi R-users,
> 
> I try to deal with cointegration in R and estimate an Error Correction
> Model
> (ECM) in a bivariate case in which I consider two variables:
> 
> ·         Pt: index house prices in France from 1996:Q1 to 2009:Q3 (log
> dependent variable)
> 
> ·         Xt: amount that households can borrow (log explanatory
> variable).
> Xt captures the role of credit, income and interest rate as drivers of the
> french housing demand.
> 
> Data are in “fr-demand-house.csv”.
> 
> The final aim is to estimate the long run relationship between houses
> prices
> (Pt) and the credit (Xt) in France :
> 
> Pt = α + ϕ Xt
> 
> I wish to estimate a general specification of the ECM as follows :
> 
> ΔPt=λ(Pt-1-α - ϕ Xt-1)+Σ(ΔXt-i)+Σ(ΔPt-i)
> 
> 
> 
> First, following the methodology presented in the book of B. Pfaff I
> bought,
> I already concluded that Pt and Xt are cointegrated  I(1) with ur.df (ADF
> test ) and ca.po (Phillips-Ouliaris Method) functions.
> 
> Second, how can I do :
> 
> 1.       to choose optimal number of lag in this general specification for
> the two cointegrated variables Pt (ΔPt-i) and Xt (ΔXt-i)?
> 
> 2.       to add a dummy variable for the first quarter of 2009
> (dumQ1-2009)
> to test the collapse of houses prices in France at the beginning of 2009 ?
> 
> Can anyone help?
> 
> thanking you in advance,
> 
> 
> 
> Gautier RENAULT
> 
>  
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