[R-SIG-Finance] VECM estimation

[Matthieu Stigler]

Jonathan

Combination of package vars and urca will provide what you need, showing 
different p-values of the lags and alpha coefficients, including 
deterministic regressor (but no orthogonal one), and various 
specification tests. P-values for beta are, as far as I know, not 
available, but function blrtest() from urca can test for the betas.

Package tsDyn, which deals with nonlinear VAR and VECM, has a few 
alternative VAR and VECM() estimation and representation functions, with 
a toLatex() method to export the VAR/VECM matrix equation into Latex.

Hope this helps

Matthieu



Le 09. 10. 10 18:07, Pete B a écrit :
> Jonathan
>
> The following CRAN link provides a full listing of packages that are useful
> for computational econometrics
>
> http://cran.r-project.org/web/views/Econometrics.html
>
> HTH
>
> Pete
>