question of VECM restricted regression

-----Urspr?ngliche Nachricht-----
Von: r-help-bounces at r-project.org 
[mailto:r-help-bounces at r-project.org] Im Auftrag von Meilan Yan
Gesendet: Freitag, 29. April 2011 11:10
An: bernhard.pfaff at pfaffikus.de; r-help at r-project.org
Betreff: [R] question of VECM restricted regression

Dear Colleague

  I am trying to figure out how to use R to do OLS restricted 
VECM regression. However, there are some notation I cannot understand.

Please tell me what is 'ect',  'sd' and 'LRM.dl1  in the 
following practice:

#OLS retricted VECM regression
data(denmark)
sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
sjd.vecm<- ca.jo(sjd, ecdet = "const", type="eigen", K=2, 
spec="longrun",
season=4)
sjd.vecm.rls<-cajorls(sjd.vecm,r=1)
summary(sjd.vecm.rls$rlm)
sjd.vecm.rls$beta

Response LRM.d :
Call:
lm(formula = substitute(LRM.d), data = data.mat)

Residuals:
      Min        1Q    Median        3Q       Max
-0.027598 -0.012836 -0.003395  0.015523  0.056034

Coefficients:
         Estimate Std. Error t value Pr(>|t|)
ect1    -0.212955   0.064354  -3.309  0.00185 **
sd1     -0.057653   0.010269  -5.614 1.16e-06 ***
sd2     -0.016305   0.009177  -1.777  0.08238 .
sd3     -0.040859   0.008767  -4.660 2.82e-05 ***
LRM.dl1  0.049816   0.191992   0.259  0.79646
LRY.dl1  0.075717   0.157902   0.480  0.63389
IBO.dl1 -1.148954   0.372745  -3.082  0.00350 **
IDE.dl1  0.227094   0.546271   0.416  0.67959

sjd.vecm.rls$beta

              ect1
LRM.l2    1.000000
LRY.l2   -1.032949
IBO.l2    5.206919
IDE.l2   -4.215879


Many thanks
Meilan





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