VECM estimation
Le 19. 12. 10 21:38, Megh Dal a ?crit :
Hi, I wanted to estimate a VEC model using vars package and gone through it's ca.jo() function. However I could not find any option to have following inputs:
Starting with: library(vars) data(Canada) ve<-ca.jo(Canada, spec="transitory")
1. Intercept and linear trend in cointegration equation (either one is available but not both option)
indeed I think it is not possible...
2. I want to explicitly specify the rank. It seems ca.jo() chooses rank through testing. However what if I want to put my own rank disregarding any statistical test?
cajorls(ve, r=2)
3. I also want to get all estimated coefficients
also obtained with cajorls() Another possibility would have been to use package tsDyn (but less features than vars): ve2<-VECM(Canada, lag=1, r=2, estim="ML") summary(ve2)
I have tried following, however getting error:
data(denmark)
sjd<- as.matrix(denmark[, c("LRM", "LRY", "IBO", "IDE")])
ca.jo(sjd, ecdet = c("const", "trend"), type="eigen", K=2, spec="transitory")
Error in match.arg(ecdet) : 'arg' must be of length 1 I would be grateful I somebody points me how to achieve that. Thanks,
_______________________________________________ R-SIG-Finance at 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.