Yes, beta matrix is same in R and E-views.

May I ask you what code R do you advice (1) to carry out the estimation of a
partial vecm in which one ore more components are exogenous and (2) to
provide t-stats, probs ?

In my case, I have three variables (y1, y2, y3). two of them are clearly
exogeneous (y2, y3). I used alrtest( )

y.mat<-data.frame(y1,y2,y3)
vecm<-ca.jo(y.mat, type="trace",  ecdet= "const", K=2,spec="transitory")

A<-matrix(c(1,0,0), nrow=3, ncol=1)
vecm.restriction<-alrtest(vecm, A, r=1)

the result of the test for binding restrictions are :
chi-square : 1.55
probs : 0.45

thanks for your help,

Gautier

2010/3/31 Pfaff, Bernhard Dr. <Bernhard_Pfaff@fra.invesco.com>

> Hello Gautier,
>
> I am not familiar with the EViews implementation and hence cannot comment
> on why the results differ. Is the \beta matrix the same, i.e. the
> normalization?
>
> Best,
> Bernhard
>
>  |>  -----Original Message-----
>  |>  From: renault gautier [mailto:renault.gautier@gmail.com]
>  |>  Sent: Wednesday, March 31, 2010 12:34 PM
>  |>  To: Pfaff, Bernhard Dr.
>  |>  Cc: Matthieu Stigler; r-sig-finance@stat.math.ethz.ch
>  |>  Subject: Re: [R-SIG-Finance] FW: VECM problem with
>  |>  exogenous components
>  |>
>  |>  Hello Bernhard,
>  |>
>  |>  I bought and red your book few month ago. I really
>  |>  appreciated it. It is
>  |>  useful to cope with econometrics in R.
>  |>
>  |>  Since alrtest()  returns a cajo.test object, can I take
>  |>  the result of
>  |>  this function as an argument in cajorls function to solve
>  |>  my problem
>  |>  with urca package? According to R documentation, cajorls()
>  |>  can take
>  |>  ca.jo or cajo.test.
>  |>
>  |>  I dit it to try and obtain all values (estimators, t
>  |>  stats, associated
>  |>  probs, standard errors) except for the cointegration equation by
>  |>  applying summary method :
>  |>  these values seems to be right for lagged differences (I
>  |>  compare with
>  |>  results with E-view)
>  |>  but the values associated to error correction terms seems
>  |>  to be false...
>  |>
>  |>  How is it possible ?
>  |>
>  |>  Gautier
>  |>
>  |>
>  |>
>  |>  Le 31/03/2010 11:53, Pfaff, Bernhard Dr. a écrit :
>  |>  > Hello Mat,
>  |>  >
>  |>  > your are right about your asertion. cajorls() suffices
>  |>  for non-restricted models and hence a transformation to
>  |>  level-VAR is not necessary.
>  |>  >
>  |>  > Best,
>  |>  > Bernhard
>  |>  >
>  |>  >   |>   -----Original Message-----
>  |>  >   |>   From: Matthieu Stigler [mailto:matthieu.stigler@gmail.com]
>  |>  >   |>   Sent: Wednesday, March 31, 2010 11:46 AM
>  |>  >   |>   To: r-sig-finance@stat.math.ethz.ch
>  |>  >   |>   Cc: Pfaff, Bernhard Dr.; renault.gautier@gmail.com
>  |>  >   |>   Subject: Re: [R-SIG-Finance] FW: VECM problem with
>  |>  >   |>   exogenous components
>  |>  >   |>
>  |>  >   |>   Hi
>  |>  >   |>
>  |>  >   |>   but how can I get standard errors, t values,
>  |>  >   |>    |>   associated probs for :
>  |>  >   |>    |>    |>   the cointegration equation ?
>  |>  >   |>    |>    |>   the estimated value of the error
>  |>  correction term ?
>  |>  >   |>    |>    |>   the lagged differences ?
>  |>  >   |>
>  |>  >   |>   Ok 1 is not available, but I thought 2 and 3 would be
>  |>  >   |>   available through
>  |>  >   |>   cajorls(), unless one estimates a restricted
>  |>  model, right?
>  |>  >   |>
>  |>  >   |>   Thanks for clarifying this point!
>  |>  >   |>
>  |>  >   |>   Matthieu
>  |>  >   |>
>  |>  >   |>   Pfaff, Bernhard Dr. a écrit :
>  |>  >   |>   >  Dear Gautier,
>  |>  >   |>   >
>  |>  >   |>   >  standard errors, t-values and marginal
>  |>  signficnance levels
>  |>  >   |>   >  are not implmenented for a VECM in the package urca.
>  |>  >   |>   >  However, you can transform your VECM into its level-VAR
>  |>  >   |>   >  form (see vec2var() in package vars) and can obtain the
>  |>  >   |>   >  desired numbers by applying the summary method.
>  |>  >   |>   >
>  |>  >   |>   >  Best,
>  |>  >   |>   >  Bernhard
>  |>  >   |>   >
>  |>  >   |>   >
>  |>  >   |>   >   |>
>  |>  >   |>   >   |>    |>   -----Original Message-----
>  |>  >   |>   >   |>    |>   From:
>  |>  r-sig-finance-bounces@stat.math.ethz.ch
>  |>  >   |>   >   |>    |>
>  |>  >   |>   [mailto:r-sig-finance-bounces@stat.math.ethz.ch] On Behalf
>  |>  >   |>   >   |>    |>   Of Gautier RENAULT
>  |>  >   |>   >   |>    |>   Sent: Wednesday, March 31, 2010 10:58 AM
>  |>  >   |>   >   |>    |>   To: r-sig-finance@stat.math.ethz.ch
>  |>  >   |>   >   |>    |>   Subject: [R-SIG-Finance] VECM
>  |>  problem with exogenous
>  |>  >   |>   >   |>   components
>  |>  >   |>   >   |>    |>
>  |>  >   |>   >   |>    |>   Dear all,
>  |>  >   |>   >   |>    |>
>  |>  >   |>   >   |>    |>   I deal with a econometrics problem in R.
>  |>  >   |>   >   |>    |>
>  |>  >   |>   >   |>    |>   My final goal is to estimate a
>  |>  vecm (three components)
>  |>  >   |>   >   |>    |>   imposing combined
>  |>  >   |>   >   |>    |>   restrictions on two components in
>  |>  alpha matrix.
>  |>  >   |>   >   |>    |>
>  |>  >   |>   >   |>    |>   I have no problem to :
>  |>  >   |>   >   |>    |>   solve the problem using ca.jo()
>  |>  and cajorls()
>  |>  >   |>   when I treat
>  |>  >   |>   >   |>    |>   all components as
>  |>  >   |>   >   |>    |>   endogenous
>  |>  >   |>   >   |>    |>   test exogeneity of one or more components
>  |>  >   |>   >   |>    |>
>  |>  >   |>   >   |>    |>   but how can I get standard errors,
>  |>  t values,
>  |>  >   |>   >   |>   associated probs for :
>  |>  >   |>   >   |>    |>   the cointegration equation ?
>  |>  >   |>   >   |>    |>   the estimated value of the error
>  |>  correction term ?
>  |>  >   |>   >   |>    |>   the lagged differences ?
>  |>  >   |>   >   |>    |>
>  |>  >   |>   >   |>    |>   This is my R code :
>  |>  >   |>   >   |>    |>
>  |>  >   |>   >   |>    |>   y.mat<-data.frame(y1,y2,y3)
>  |>  >   |>   >   |>    |>   vecm<-ca.jo(y.mat, type="trace",
>  |>  ecdet= "const", K=2,
>  |>  >   |>   >   |>    |>   spec="transitory")
>  |>  >   |>   >   |>    |>   vecm.result<-cajorls(vecm, r=1)
>  |>  >   |>   >   |>    |>   summary(vecm.result$rlm)
>  |>  >   |>   >   |>    |>
>  |>  >   |>   >   |>    |>   # testing weak exogeneity
>  |>  >   |>   >   |>    |>
>  |>  >   |>   >   |>    |>   A<-matrix(c(1,0,0), nrow=3, ncol=1)       #
>  |>  >   |>   restriction
>  |>  >   |>   >   |>    |>   matrix (y2, y3
>  |>  >   |>   >   |>    |>   :treated as exogenous)
>  |>  >   |>   >   |>    |>   vecm.restriction<-alrtest(vecm, A, r=1)
>  |>  >   |>   >   |>    |>   summary(vecm.restriction)
>  |>  >   |>   >   |>    |>
>  |>  >   |>   >   |>    |>   Could someone help ?
>  |>  >   |>   >   |>    |>
>  |>  >   |>   >   |>    |>   Gautier
>  |>  >   |>   >   |>    |>
>  |>  >   |>   >   |>    |>      [[alternative HTML version deleted]]
>  |>  >   |>   >   |>    |>
>  |>  >   |>   >   |>    |>
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