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

[Pfaff, Bernhard Dr.]

Hello Mat,

your are right about your asertion. cajorls() suffices for non-restricted models and hence a transformation to level-VAR is not necessary. 

Best,
Bernhard 

 |>  -----Original Message-----
 |>  From: Matthieu Stigler [mailto:matthieu.stigler at gmail.com] 
 |>  Sent: Wednesday, March 31, 2010 11:46 AM
 |>  To: r-sig-finance at stat.math.ethz.ch
 |>  Cc: Pfaff, Bernhard Dr.; renault.gautier at gmail.com
 |>  Subject: Re: [R-SIG-Finance] FW: VECM problem with 
 |>  exogenous components
 |>  
 |>  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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