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

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