Dear all, I am working with some VECM estimation methodology, however could not find any complete package for doing so in R. I am aware of?the "urca" package, however could not find any function for : 1. Availing "t-ratio" with estimated individual estimated SD, for all parameters like Alpha, Beta, Sigma and other model parameters, under different setup for deterministic terms like simple constant, deterministic trend and orthogonal deterministic trend, with varying lag and rank parameters. 2. Performing residual analysis like plotting ACF, PACF for estimated residuals with confidence band and portmanteau testing etc. Ofcourse I can write for my own, however it obviously not a good idea to reinventing the wheel. Is there any functions available for doing above? Thank you for your time.
VECM estimation
4 messages · Jonathan Beokhokhei, John Kerpel, Pete B +1 more
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Jonathan The following CRAN link provides a full listing of packages that are useful for computational econometrics http://cran.r-project.org/web/views/Econometrics.html HTH Pete
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1 day later
Jonathan Combination of package vars and urca will provide what you need, showing different p-values of the lags and alpha coefficients, including deterministic regressor (but no orthogonal one), and various specification tests. P-values for beta are, as far as I know, not available, but function blrtest() from urca can test for the betas. Package tsDyn, which deals with nonlinear VAR and VECM, has a few alternative VAR and VECM() estimation and representation functions, with a toLatex() method to export the VAR/VECM matrix equation into Latex. Hope this helps Matthieu Le 09. 10. 10 18:07, Pete B a ?crit :
Jonathan The following CRAN link provides a full listing of packages that are useful for computational econometrics http://cran.r-project.org/web/views/Econometrics.html HTH Pete