Message-ID: <7398.56457.qm@web58105.mail.re3.yahoo.com>
Date: 2010-12-19T20:38:14Z
From: Megh Dal
Subject: VECM estimation
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:
1. Intercept and linear trend in cointegration equation (either one is available but not both option)
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?
3. I also want to get all estimated coefficients
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,