[R-SIG-Finance] Imposing restrictions in vecm in r

[Prabhdeep Kaur]

Good morning Sir
My name is Prabhdeep Kaur. I am a research scholar at Guru Nanak Dev University, Amritsar, India.
Sir, I am trying to test some restrictions in vecm in R but having some problems in the same. I shall be very thankful to you if you can help me in the same. Here is  a brief description of the problem:
I am having three variables x,y and z and getting two cointegrating vectors (r=2). I used the following commands:>coint<-cbind(x,y,z)>cointe<-ca.jo(coint,ecd="none",type="trace",k=2,spec="longrun")>vecm<-cajorls(cointe,r=2)>summary(vecm)
I want to re-estimate the model with the following restrictions on the cointegrating vectors:
                                 ect1               ect2          x                        1                     0          y                        b1                   1          z                        0                     b2        constant              c1                    c2
Here b1y and c1 are the coefficients of the first cointegrating vector and b2 and c2 are the coefficients of the second cointegrating vector.
I know I need to use blrtest for the same but unable to define the H martix.
>test<-blrtest(cointe,H=?,r=2)
Can you please help me know how can I specify the H martix. I shall be very thankful to you if you can guide me in the right direction. Or I need to use tsDyn package in R for the execution of the same.
Thanks and Regards! Prabhdeep KaurResearch Scholar
Department of CommerceGuru Nanak Dev UniversityAmritsarIndia
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