Try the vars package.  It's excellent.

On Sat, Oct 9, 2010 at 4:32 AM, Jonathan Beokhokhei <
bkhei_jonathan@yahoo.com> wrote:

> Dear all, I am working with some VECM estimation methodology, however could
> not find any complete package for doing so in R. I am aware of the "urca"
> package, however could not find any function for :
>
> 1. Availing "t-ratio" with estimated individual estimated SD, for all
> parameters like Alpha, Beta, Sigma and other model parameters, under
> different setup for deterministic terms like simple constant, deterministic
> trend and orthogonal deterministic trend, with varying lag and rank
> parameters.
>
> 2. Performing residual analysis like plotting ACF, PACF for estimated
> residuals with confidence band and portmanteau testing etc.
>
> Ofcourse I can write for my own, however it obviously not a good idea to
> reinventing the wheel. Is there any functions available for doing above?
>
> Thank you for your time.
>
>
>
>
> _______________________________________________
> R-SIG-Finance@stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>

	[[alternative HTML version deleted]]

