[R-SIG-Finance] FW: VECM problem with exogenous components
Pfaff, Bernhard Dr.
Bernhard_Pfaff at fra.invesco.com
Wed Mar 31 14:08:05 CEST 2010
Hello Gautier,
I am not familiar with the EViews implementation and hence cannot comment on why the results differ. Is the \beta matrix the same, i.e. the normalization?
Best,
Bernhard
|> -----Original Message-----
|> From: renault gautier [mailto:renault.gautier at gmail.com]
|> Sent: Wednesday, March 31, 2010 12:34 PM
|> To: Pfaff, Bernhard Dr.
|> Cc: Matthieu Stigler; r-sig-finance at stat.math.ethz.ch
|> Subject: Re: [R-SIG-Finance] FW: VECM problem with
|> exogenous components
|>
|> 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]]
|> > |> > |> |>
|> > |> > |> |>
|> _______________________________________________
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