[R-SIG-Finance] VECM estimation

[Megh Dal]

Thanks Matthieu the VECM() function is quite okay on what I need however I also need to have structural analysis (atleast B-model) of my fitted model. It seems that tsDyn package does not have any option for that, whereas vars package has with SVEC() function. But problem I am facing is again, it needs specific object type as: "Object of class ‘ca.jo’; generated by ca.jo() contained in urca".

Is there any option to use object returned from VECM() in SVEC()? Or can you suggest anything else?

Thanks,

--- On Mon, 12/20/10, mat <matthieu.stigler at gmail.com> wrote:

> From: mat <matthieu.stigler at gmail.com>
> Subject: Re: [R-SIG-Finance] VECM estimation
> To: "Megh Dal" <megh700004 at yahoo.com>
> Cc: "r-sig-finance at stat.math.ethz.ch" <r-sig-finance at stat.math.ethz.ch>
> Date: Monday, December 20, 2010, 3:47 AM
> 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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