Dear Matthieu,

I apologize for the delayed response but things have been a bit hectic the
last few days. I am sorry to hear that the current version of the tsDyn does
not have the capabilities I'm looking for. In light of this, I think the
description and wording for the LRinclude argument should be clarified so
that others don't repeat the same mistake I did in thinking a matrix can be
included.

Also, the data I obtained from Lutkepohl's book is found at the website of
his own software jMulTi. http://www.jmulti.de/ The actual files are located
under the sub page "Datasets".

As for the examples, I have indeed been able replicate a bunch of them using
various packages such as vars, urca, tsDyn. Unfortunately, I have not saved
the codes. I guess I can make it a side project to repeat the examples and
save the codes and send them to you. I don't mind doing this as it could
serve as a nice review of things for me again.

Let me know your thoughts.

Best,

Mirza Trokic
Department of Economics
McGill University
Leacock Building, Room 443
855 Sherbrooke Street West
Montreal, QC, H3A 2T7
Canada

Tel: (514) 627-4451



On Wed, Sep 28, 2011 at 2:09 PM, Matthieu Stigler [via R] <
ml-node+s789695n3852295h12@n4.nabble.com> wrote:

> 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 <[hidden email]<http://user/SendEmail.jtp?type=node&node=3852295&i=0>>
>
>
> > 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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