[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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