Message-ID: <1343914170382-4638874.post@n4.nabble.com>
Date: 2012-08-02T13:29:30Z
From: dha3000
Subject: Restricted VECM-VAR representation
Hey guys,
I am using the "urca" and "vars" package to estimate a VECM.
I already estimated the VECM with the ca.jo, put restrictions on the
cointegration and loading matrix via "alrtest", "blrtest" and "ablrtest" and
finally reesimated the restricted VECM with cajorls.
Is it possible to transform this restricted VECM into a level's VAR
version? As it can be done with "vec2var" and "ca.jo".
Because I want to estimate in a second step the impulse response function in
levels, rather than differences. (irf() or even SVAR()).
Thanks a lot, dha!
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