Thanks! But I was trying to check which formula has this "K" appearing... There
is no "K" in the entire "Details" Section.
Yeah, there is a small "k", but that's not the "K", no?

---------------------
Details

Given a general VAR of the form:

*\bold{X}_t = \bold{Ð}_1 \bold{X}_{t-1} + ... + \bold{Ð}_k \bold{X}_{t-k} +
\bold{ì} + \bold{Ö D}_t + \bold{\varepsilon}_t , \quad (t = 1, ..., T),*

the following two specifications of a VECM exist:

*Ä \bold{X}_t = \bold{Ã}_1 Ä \bold{X}_{t-1} + ... + \bold{Ã}_{k-1} Ä
\bold{X}_{t-k+1} + \bold{Ð X}_{t-k} + \bold{ì} + \bold{Ö D}_t +
\bold{\varepsilon}_t*

where

*\bold{Ã}_i = - (\bold{I} - \bold{Ð}_1 - ... - \bold{Ð}_i), \quad (i = 1, ... ,
k-1),*

and

*\bold{Ð} = -(\bold{I} - \bold{Ð}_1 - ... - \bold{Ð}_k)*

The *\bold{Ã}_i* matrices contain the cumulative long-run impacts, hence if
spec="longrun" is choosen, the above VECM is estimated.

The other VECM specification is of the form:

*Ä \bold{X}_t = \bold{Ã}_1 Ä \bold{X}_{t-1} + ... + \bold{Ã}_{k-1} Ä
\bold{X}_{t-k+1} + \bold{Ð X}_{t-1} + \bold{ì} + \bold{Ö D}_t +
\bold{\varepsilon}_t*

where

*\bold{Ã}_i = - (\bold{Ð}_{i+1} + ... + \bold{Ð}_k), \quad(i = 1, ... , k-1),*

and

*\bold{Ð} = -(\bold{I} - \bold{Ð}_1 - ... - \bold{Ð}_k).*

The *\bold{Ð}* matrix is the same as in the first specification. However,
the *\bold{Ã}_i* matrices now differ, in the sense that they measure
transitory effects, hence by setting spec="transitory" the second VECM form
is estimated. Please note that inferences drawn on *\bold{Ð}* will be the
same, regardless which specification is choosen and that the explanatory
power is the same, too.

If "season" is not NULL, centered seasonal dummy variables are included.

If "dumvar" is not NULL, a matrix of dummy variables is included in the
VECM. Please note, that the number of rows of the matrix containing the
dummy variables must be equal to the row number of x.

Critical values are only reported for systems with less than 11 variables
and are taken from Osterwald-Lenum.


On Mon, Apr 2, 2012 at 4:43 PM, R. Michael Weylandt <
michael.weylandt@gmail.com> wrote:

> As I said to you before, ca.jo is in the urca package.
>
> It's defined in arguments: to wit,
>
> K: The lag order of the series (levels) in the VAR.
>
> It's also used in that manner throughout the details section.
>
> Michael Weylandt
>
> On Mon, Apr 2, 2012 at 5:33 PM, Michael <comtech.usa@gmail.com> wrote:
> > Hi all,
> >
> > I have a quick question:
> >
> > In using "ca.jo" in "vars"...
> >
> >
> > ca.jo(x, type = c("eigen", "trace"), ecdet = c("none", "const",
> "trend"), K = 2,
> > spec=c("longrun", "transitory"), season = NULL, dumvar = NULL)
> >
> >
> >
> > There is a parameter "K".
> >
> > What does this "K" correspond to in the "Details" section? It doesn't
> > appear anywhere in the fomulars...
> >
> > When I read into the book by Dr. Bernhard Pfaff, I couldn't find a
> > corresponding one either...
> >
> > Please help me!
> >
> >
> >
> > Thank you!
> >
> >        [[alternative HTML version deleted]]
> >
> > _______________________________________________
> > R-SIG-Finance@r-project.org 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]]

