The code is available at http://www.jstatsoft.org/v27/i04/. ################################################### ### VECM r = 1 ################################################### vecm <- ca.jo(Canada[, c("rw", "prod", "e", "U")], type = "trace", ecdet = "trend", K = 3, spec = "transitory") vecm.r1 <- cajorls(vecm, r = 1) ## ## Calculation of t-values for alpha and beta ## alpha <- coef(vecm.r1$rlm)[1, ] names(alpha) <- c("rw", "prod", "e", "U") alpha beta <- vecm.r1$beta beta resids <- resid(vecm.r1$rlm) N <- nrow(resids) sigma <- crossprod(resids) / N ## t-stats for alpha (calculated by hand) alpha.se <- sqrt(solve(crossprod(cbind(vecm at ZK %*% beta, vecm at Z1)))[1, 1] * diag(sigma)) names(alpha.se) <- c("rw", "prod", "e", "U") alpha.t <- alpha / alpha.se alpha.t ## Differ slightly from coef(summary(vecm.r1$rlm)) ## due to degrees of freedom adjustment coef(summary(vecm.r1$rlm)) ## t-stats for beta beta.se <- sqrt(diag(kronecker(solve(crossprod(vecm at RK[, -1])), solve(t(alpha) %*% solve(sigma) %*% alpha)))) beta.t <- c(NA, beta[-1] / beta.se) names(beta.t) <- rownames(vecm.r1$beta) beta.t -- View this message in context: http://r.789695.n4.nabble.com/How-to-retrieve-standard-errors-of-cointegrating-vector-from-vars-urca-tp4655136p4686477.html Sent from the Rmetrics mailing list archive at Nabble.com.
How to retrieve standard errors of cointegrating vector from vars/urca ?
1 message · paulofel