A question on VECM
-----Urspr?ngliche Nachricht----- Von: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] Im Auftrag von RON70 Gesendet: Mittwoch, 3. Juni 2009 10:19 An: r-sig-finance at stat.math.ethz.ch Betreff: [R-SIG-Finance] [R-sig-finance] A question on VECM In my textbook, I found that for a vector error correction model, the "beta" matrix i.e. which represents the co-integrating vectors can be represented in a speacial matrix wherein first rxr partition is Identity matrix like : beta[rxn] = (I(r), beta[rx(n-r)]) Is there any R function to do that representation?
Dear Ron? have you considered the CRAN package 'urca' and there the function cajorls()? library(urca) example(cajorls) Best, Bernhard
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