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

[renault gautier]

Hello Bernhard,

I bought and red your book few month ago. I really appreciated it. It is 
useful to cope with econometrics in R.

Since alrtest()  returns a cajo.test object, can I take the result of 
this function as an argument in cajorls function to solve my problem 
with urca package? According to R documentation, cajorls() can take 
ca.jo or cajo.test.

I dit it to try and obtain all values (estimators, t stats, associated 
probs, standard errors) except for the cointegration equation by 
applying summary method :
these values seems to be right for lagged differences (I compare with 
results with E-view)
but the values associated to error correction terms seems to be false...

How is it possible ?

Gautier



Le 31/03/2010 11:53, Pfaff, Bernhard Dr. a écrit :
> 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]]
>   |>   >   |>    |>
>   |>   >   |>    |>   _______________________________________________
>   |>   >   |>    |>   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}}
>   |>   >
>   |>   >  _______________________________________________
>   |>   >  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.
>   |>   >
>   |>
>   |>
>