Message-ID: <B89F0CE41D45644A97CCC93DF548C1C31ADBDFC9@GBHENXMB02.corp.amvescap.net>
Date: 2009-06-03T12:11:47Z
From: Pfaff, Bernhard Dr.
Subject: A question on VECM
In-Reply-To: <23847406.post@talk.nabble.com>
>-----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
>Regards,
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