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

[Matthieu Stigler]

Hi

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 ?

Ok 1 is not available, but I thought 2 and 3 would be available through 
cajorls(), unless one estimates a restricted  model, right?

Thanks for clarifying this point!

Matthieu

Pfaff, Bernhard Dr. a écrit :
> 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]]
>  |>   |>  
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