2011/11/11 <vramaiah@neo.tamu.edu>

>
>
> Hello Fellow R'ers
> I am a new user of R and I am applying it for solving Bi-Variate
> (Consumption and Output) VECM with Co-Integration (I(1)) with three lags on
> Consumption and Output expressed aa lags of differences.  R Code and one
> segment fo the output (other parts of the output are repeatitive) are as
> follows.
> > us=read.table("usdata.1995-2009.txt",header=T)
> > sjd<-us[,c("Y","C")]
> > sjd.vecm1 <- ca.jo(sjd, ecdet='const', type="eigen", K=3,
> spec="longrun",
> + season=4)
> > sjd.vecm2 <- ca.jo(sjd, ecdet='const', type="eigen", K=3,
> spec="transitory",
> + season=4)
> > sjd.vecm.ols1 <- cajools(sjd.vecm1)
> > sjd.vecm.ols2 <- cajools(sjd.vecm2)
> > summary(sjd.vecm.ols1)
> Response Y.d :
>
> Call:
> lm(formula = substitute(Y.d), data = data.mat)
>
> Residuals:
>       Min         1Q     Median         3Q        Max
> -0.0049787 -0.0012948  0.0000703  0.0009653  0.0063192
>
> Coefficients:
>           Estimate Std. Error t value Pr(>|t|)
> sd1      -0.0002012  0.0007653  -0.263 0.793820
> sd2       0.0013339  0.0007616   1.752 0.086378 .
> sd3       0.0007372  0.0007947   0.928 0.358348
> Y.dl1    -0.2215246  0.1600532  -1.384 0.172875
> C.dl1     0.9220846  0.1646314   5.601 1.08e-06 ***
> Y.dl2    -0.1600219  0.1273838  -1.256 0.215245
> C.dl2     0.4712112  0.2124175   2.218 0.031401 *
> Y.l3     -0.3227708  0.0881079  -3.663 0.000631 ***
> C.l3      0.2376579  0.0688854   3.450 0.001194 **
> constant  0.4707624  0.1182284   3.982 0.000236 ***
> ---
> Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
>
> Residual standard error: 0.002013 on 47 degrees of freedom
> Multiple R-squared: 0.7053,     Adjusted R-squared: 0.6426
> F-statistic: 11.25 on 10 and 47 DF,  p-value: 1.707e-09
>
>
>
> I am trying to decipher the output and have the following questions.
> 1.  If you have published a book with explanations of the output, I would
> like to acquire one.  Please advise me where I can get one.  It might me
> and you lot of time.  In the meantime....
>
Yes, the book detailing package vars and urca is (cose to) Pfaff,
Integrated and Cointegrated Series in R , Springer

2.  Are Y.dl1, C.dl1, Y.dl2, C.dl2, Y.l3 and C.l3 are the coefficients I am
> looking for?
>
difficult to say if you don;t tell us what you are looking for! The *.dl
describe the coefficients of the differenced lags (so callsed short term
deviations), while the *l describe the a*b  result. I think you will be
more interested by the output of the caorls function, that gives the alpha
and beta parameters.


> 3.  My equition requires Y.l1 and C.l1.  Is there a way I could change
> from Y.l3 and C.l3
>

then you are refering to a structural VAR. Look at the so-called vignette
of package for this: vignette("vars")


> 4.  I need to use these coefficients for forecasting.  What command I use
> to extract the coefficients from this program?
>
this is fairly easy since you just have as output lm objects, which are the
standard regression classes in R. So function such as predict() will work
on the $rlm output


> 5.  What are sd1, sd2, sd3?  I did not input any "seasonal dummies" and
> yet the output seems to have included them.  Does it affect the value of
> the coefficients?  Is there a better way to reframe the command to avoid
> them?
>
just set season=NULL


> I hope it is not too much to ask for your help.
>
please remember to provide a built-in dataset (data(denmark) rather that a
data no one can access when you seek help on the list!

> I thank you in advance.
> Ram Ramaiah
>
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