Hello Dennis,
have you considered the function bh6lrtest() in the package urca?
To my knowledge, there is no other package available that offers VECM
functionalities.
Best,
Bernhard
ps: As you migth be interested in VAR and SVAR too: I am currently working on
such a package which should be submitted to CRAN after summer.
Dr. Bernhard Pfaff
Global Structured Products Group
(Europe)
Invesco Asset Management Deutschland GmbH
Bleichstrasse 60-62
D-60313 Frankfurt am Main
Tel: +49(0)69 29807 230
Fax: +49(0)69 29807 178
Email: bernhard_pfaff at fra.invesco.com
>-----Urspr?ngliche Nachricht-----
>Von: r-help-bounces at stat.math.ethz.ch
>[mailto:r-help-bounces at stat.math.ethz.ch] Im Auftrag von
>Dennis Heidemann
>Gesendet: Donnerstag, 29. Juni 2006 21:20
>An: R-help at stat.math.ethz.ch
>Betreff: [R] Cointegration Test in R
>
>Hello!
>
>I'm using the blrtest() function in the urca package
>to test cointegration relationships.
>Unfortunately, the hypothesis (restrictions on beta)
>specifies the same restriction on all cointegration vectors.
>Is there any possibility to specify different restrictions on
>the cointegration vectors?
>Are there any other packages in R using cointegration tests?
>
>Thanks and best regards.
>Dennis Heidemann
> [[alternative HTML version deleted]]
>
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