[R-SIG-Finance] restrictions on cointegration relations - urca package

mapirlo at libero.it mapirlo at libero.it
Wed Apr 14 21:23:23 CEST 2010


Hi R-programmers,

I found out urca package to deal with econometrics.

I detected a cointegration space of r=2. ok, fine.

but now :
how can I impose restrictions in first and second cointegration relation in 
the same time and obtain new beta and alpha matrix ?

In the two following cointegrations with ca.jo :
W + 7.04 Y+ 32.24 U - 0.7 t = 0
W - 1.65 Y -1.65 U + 0.008 t = 0

I wish impose :
a null coeficient for Y in the first relation ( W + 0 * Y + beta12 * U + 
beta13 * t)
coefficient of  Y =  coefficient of U in the second relation (W + betat22 * Y 
+ beta22 * U + beta23 * t)

What is the restriction matrix ? which function do I use to solve it ?

thanks in advance,

Marco



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