Hi,
I am trying to estimate a VECM without constant using the following code:
data(finland)
sjf <- finland
sjf.reg<-ca.jo(sjf, type = c("eigen"), ecdet = c("none"), K = 2,spec=c("transitory"), season = NULL, dumvar = NULL)
cajools(sjf.reg)
While the cointegration test does not use a constant, it is used in the cajools which I do not want. I am sure I am doing something wrong - what should I change?
Any help very much appreciated!
Ralph
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Cointegration no constant
2 messages · Ralph S., Pfaff, Bernhard Dr.
Hi,
I am trying to estimate a VECM without constant using the
following code:
data(finland)
sjf <- finland
sjf.reg<-ca.jo(sjf, type = c("eigen"), ecdet = c("none"), K =
2,spec=c("transitory"), season = NULL, dumvar = NULL)
cajools(sjf.reg)
While the cointegration test does not use a constant, it is
used in the cajools which I do not want. I am sure I am doing
something wrong - what should I change?
Hello Ralph, are you really sure that you do want to include a constant in cajools? If so, this can be swiftly accomplished by: sjf.reg at Z1 <- sjf.reg at Z1[, -1] cajools(sjf.reg) i.e., you drop the constant from the slot Z1 (have a look at cajools to see how the regression are set up). You might want consider using cajorls, too. Best, Bernhard
Any help very much appreciated! Ralph
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