R help - Mar 2011 - VECM with UNRESTRICTED TREND

Dear All,

My question is:

how can I estimate VECM system with "unrestricted trend" (aka
"case 5")
option as a deterministic term?

As far as I know, ca.jo in urca package allows for "restricted trend"
only [vecm
<- ca.jo(data, type = "trace"/"eigen", ecdet =
"trend", K = n, spec "transitory"/"longrun")].
Obviously, I don't have to do this in urca, so if another package gives the
possibility, please let me know too!

Thanks in advance!

Greg

	[[alternative HTML version deleted]]

Hello Greg,

you can exploit the argument 'dumvar' for this. See ?ca.jo

Best,
Bernhard 
> -----Urspr?ngliche Nachricht-----
> Von: r-help-bounces at r-project.org 
> [mailto:r-help-bounces at r-project.org] Im Auftrag von Grzegorz Konat
> Gesendet: Mittwoch, 30. M?rz 2011 16:46
> An: r-help at r-project.org
> Betreff: [R] VECM with UNRESTRICTED TREND
> 
> Dear All,
> 
> My question is:
> 
> how can I estimate VECM system with "unrestricted trend" (aka 
> "case 5") option as a deterministic term?
> 
> As far as I know, ca.jo in urca package allows for "restricted
trend"
> only [vecm
> <- ca.jo(data, type = "trace"/"eigen", ecdet =
"trend", K =
> n, spec = "transitory"/"longrun")].
> Obviously, I don't have to do this in urca, so if another 
> package gives the possibility, please let me know too!
> 
> Thanks in advance!
> 
> Greg
> 
> 	[[alternative HTML version deleted]]
> 
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