Good day to all forum members,

 

Currently doing some VAR/VECM analysis using the excellent R-package.
Thanks to assistance of certain forum members, I've been able to obtain
specific estimates of cointegrating vector and loading parameters as
well as their associated t-values and standard error. However I've got
two main areas I'd like assistance with:

 

1.	How does one obtain estimates of the short-run relationship of
an estimated SVAR/VECM including the coefficient of the error correction
term as well as associated t-values and standard errors? I've gone
through the steps outlined in section 3 of Pfaff's "Analysis of
Integrated and Cointegrated Time Series with R", and noted that the
focus is on discussing steps towards deriving long-run relationship and
associated t-values and standard errors.

 

2.	Does anyone have experience regarding what steps to follow to
get similar estimates of the cointegrating vector and loading parameters
obtained by Pfaff and outlined in Table 5 of his document VAR, SVAR and
SVEC Models: Implementation Within R Package vars when r > 1? i.e. you
have more than one coinetgrating equation?

 

Valuable assistance will be most welcome.

 

Kind regards,

Hammed

 


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