[R-SIG-Finance] FW: VECM problem with exogenous components

[Pfaff, Bernhard Dr.]

Dear Gautier,
 
standard errors, t-values and marginal signficnance levels 
are not implmenented for a VECM in the package urca. 
However, you can transform your VECM into its level-VAR 
form (see vec2var() in package vars) and can obtain the 
desired numbers by applying the summary method.
  
Best,
Bernhard  


 |>  
 |>   |>  -----Original Message-----
 |>   |>  From: r-sig-finance-bounces at stat.math.ethz.ch 
 |>   |>  [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf 
 |>   |>  Of Gautier RENAULT
 |>   |>  Sent: Wednesday, March 31, 2010 10:58 AM
 |>   |>  To: r-sig-finance at stat.math.ethz.ch
 |>   |>  Subject: [R-SIG-Finance] VECM problem with exogenous 
 |>  components
 |>   |>  
 |>   |>  Dear all,
 |>   |>  
 |>   |>  I deal with a econometrics problem in R.
 |>   |>  
 |>   |>  My final goal is to estimate a vecm (three components) 
 |>   |>  imposing combined
 |>   |>  restrictions on two components in alpha matrix.
 |>   |>  
 |>   |>  I have no problem to :
 |>   |>  solve the problem using ca.jo() and cajorls() when I treat 
 |>   |>  all components as
 |>   |>  endogenous
 |>   |>  test exogeneity of one or more components
 |>   |>  
 |>   |>  but how can I get standard errors, t values, 
 |>  associated probs for :
 |>   |>  the cointegration equation ?
 |>   |>  the estimated value of the error correction term ?
 |>   |>  the lagged differences ?
 |>   |>  
 |>   |>  This is my R code :
 |>   |>  
 |>   |>  y.mat<-data.frame(y1,y2,y3)
 |>   |>  vecm<-ca.jo(y.mat, type="trace", ecdet= "const", K=2, 
 |>   |>  spec="transitory")
 |>   |>  vecm.result<-cajorls(vecm, r=1)
 |>   |>  summary(vecm.result$rlm)
 |>   |>  
 |>   |>  # testing weak exogeneity
 |>   |>  
 |>   |>  A<-matrix(c(1,0,0), nrow=3, ncol=1)       # restriction 
 |>   |>  matrix (y2, y3
 |>   |>  :treated as exogenous)
 |>   |>  vecm.restriction<-alrtest(vecm, A, r=1)
 |>   |>  summary(vecm.restriction)
 |>   |>  
 |>   |>  Could someone help ?
 |>   |>  
 |>   |>  Gautier
 |>   |>  
 |>   |>  	[[alternative HTML version deleted]]
 |>   |>  
 |>   |>  _______________________________________________
 |>   |>  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.
 |>   |>  -- Also note that this is not the r-help list where 
 |>   |>  general R questions should go.
 |>   |>  
 |>  
*****************************************************************
Confidentiality Note: The information contained in this ...{{dropped:10}}