Dear Mirza

There is indeed a mismatch, as the possibility to include any regressor into
the cointegrating regressions was allowed earlier on. Now, with further
developments of the package (the ML estimator), this is unfortunately not
possible anymore.

Note that I do not have the book under the hand, but I suspect you want to
have the seasonal dummies in the VECM equation, not within the cointegrating
relationship? If this is the case, this is possible in the vars package.

Best

Matthieu

2011/9/26 mtrokic <mirza.trokic@gmail.com>

> Hello!
>
> I am currently working on the VECM chapters covering Lutkepohl's "New intro
> to multiple time series analysis". I would like to use the tsDyn library to
> replicate his examples. However, I for the life of me cannot understand how
> to include seasonal dummy variables in tsDyn:VECM.
>
> The time series Lutkepohl uses is bivariate quarterly data from 1972 Q2 to
> 1998 Q4. The procedure I would like to use is:
>
> library(tsDyn)
>
> e6ts = read.table('e6.dat', header = TRUE)
> e6ts = ts(e6ts, start = c(1972,2), frequency=4)
>
> e6ts.vecm.ml = VECM(e6ts, lag=3, r=1, include='const', estim='ML',
> LRinclude
> = ???)
>
> It is here where I get stuck. I want to include seasonal dummy variables of
> the sort D = (1,s1,s2,s3)'. However, I have no clue how to set up this
> matrix so that I can include it with LRinclude. In fact, whenever I try to
> put any matrix for LRinclude, such as LRinclude = D, it tells me that it
> must be NULL or a character vector.
>
> Can someone please be so kind and lead me though performing this example. I
> really need to learn how to do this.
>
> Thanking you in advance.
>
> Mirza T.
>
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