Hello Mat,
your are right about your asertion. cajorls() suffices for non-restricted models and hence a transformation to level-VAR is not necessary.
Best,
Bernhard
|> -----Original Message-----
|> From: Matthieu Stigler [mailto:matthieu.stigler at gmail.com]
|> Sent: Wednesday, March 31, 2010 11:46 AM
|> To: r-sig-finance at stat.math.ethz.ch
|> Cc: Pfaff, Bernhard Dr.; renault.gautier at gmail.com
|> Subject: Re: [R-SIG-Finance] FW: VECM problem with
|> exogenous components
|>
|> Hi
|>
|> but how can I get standard errors, t values,
|> |> associated probs for :
|> |> |> the cointegration equation ?
|> |> |> the estimated value of the error correction term ?
|> |> |> the lagged differences ?
|>
|> Ok 1 is not available, but I thought 2 and 3 would be
|> available through
|> cajorls(), unless one estimates a restricted model, right?
|>
|> Thanks for clarifying this point!
|>
|> Matthieu
|>
|> Pfaff, Bernhard Dr. a ?crit :
|> > Dear Gautier,
|> >
|> > standard errors, t-values and marginal signficnance levels
|> > are not implmenented for a VECM in the package urca.
|> > However, you can transform your VECM into its level-VAR
|> > form (see vec2var() in package vars) and can obtain the
|> > desired numbers by applying the summary method.
|> >
|> > Best,
|> > Bernhard
|> >
|> >
|> > |>
|> > |> |> -----Original Message-----
|> > |> |> From: r-sig-finance-bounces at stat.math.ethz.ch
|> > |> |>
|> [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf
|> > |> |> Of Gautier RENAULT
|> > |> |> Sent: Wednesday, March 31, 2010 10:58 AM
|> > |> |> To: r-sig-finance at stat.math.ethz.ch
|> > |> |> Subject: [R-SIG-Finance] VECM problem with exogenous
|> > |> components
|> > |> |>
|> > |> |> Dear all,
|> > |> |>
|> > |> |> I deal with a econometrics problem in R.
|> > |> |>
|> > |> |> My final goal is to estimate a vecm (three components)
|> > |> |> imposing combined
|> > |> |> restrictions on two components in alpha matrix.
|> > |> |>
|> > |> |> I have no problem to :
|> > |> |> solve the problem using ca.jo() and cajorls()
|> when I treat
|> > |> |> all components as
|> > |> |> endogenous
|> > |> |> test exogeneity of one or more components
|> > |> |>
|> > |> |> but how can I get standard errors, t values,
|> > |> associated probs for :
|> > |> |> the cointegration equation ?
|> > |> |> the estimated value of the error correction term ?
|> > |> |> the lagged differences ?
|> > |> |>
|> > |> |> This is my R code :
|> > |> |>
|> > |> |> y.mat<-data.frame(y1,y2,y3)
|> > |> |> vecm<-ca.jo(y.mat, type="trace", ecdet= "const", K=2,
|> > |> |> spec="transitory")
|> > |> |> vecm.result<-cajorls(vecm, r=1)
|> > |> |> summary(vecm.result$rlm)
|> > |> |>
|> > |> |> # testing weak exogeneity
|> > |> |>
|> > |> |> A<-matrix(c(1,0,0), nrow=3, ncol=1) #
|> restriction
|> > |> |> matrix (y2, y3
|> > |> |> :treated as exogenous)
|> > |> |> vecm.restriction<-alrtest(vecm, A, r=1)
|> > |> |> summary(vecm.restriction)
|> > |> |>
|> > |> |> Could someone help ?
|> > |> |>
|> > |> |> Gautier
|> > |> |>
|> > |> |> [[alternative HTML version deleted]]
|> > |> |>
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