[R-SIG-Finance] VECM estimation

[mat]

Le 19. 12. 10 21:38, Megh Dal a écrit :
> Hi, I wanted to estimate a VEC model using vars package and gone through it's ca.jo() function. However I could not find any option to have following inputs:
>
Starting with:

library(vars)
data(Canada)
ve<-ca.jo(Canada, spec="transitory")
> 1. Intercept and linear trend in cointegration equation (either one is available but not both option)
indeed I think it is not possible...
> 2. I want to explicitly specify the rank. It seems ca.jo() chooses rank through testing. However what if I want to put my own rank disregarding any statistical test?
cajorls(ve, r=2)
> 3. I also want to get all estimated coefficients
also obtained with cajorls()

Another possibility would have been to use package tsDyn (but less 
features than vars):

ve2<-VECM(Canada, lag=1, r=2, estim="ML")

summary(ve2)
> I have tried following, however getting error:
>
>
>> data(denmark)
>> sjd<- as.matrix(denmark[, c("LRM", "LRY", "IBO", "IDE")])
>> ca.jo(sjd, ecdet = c("const", "trend"), type="eigen", K=2, spec="transitory")
> Error in match.arg(ecdet) : 'arg' must be of length 1
>
> I would be grateful I somebody points me how to achieve that.
>
> Thanks,
>
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