Hi all R users, I'm finding it a bit hard to interpret the output from the cajorls and VECM function. I'm trying to model a VECM model with cointegration rank of 6, and therefore I get the varibles ECT1, ECT2... ECT6 in my output. Are these representing the estimates for my loading matrix or also denoted the "alpha" matrix? Thanks in advanced Emil -- View this message in context: http://r.789695.n4.nabble.com/Interper-output-from-cajorls-and-VECM-tp4639963.html Sent from the R help mailing list archive at Nabble.com.
Hello Rmillan, I was looking for the same issue and I found that the variables ECT1, ECT2... are the loading matrix, as you can check in the example of the paper found at http://cran.r-project.org/web/packages/vars/vignettes/vars.pdf <http://cran.r-project.org/web/packages/vars/vignettes/vars.pdf> The example is on pages 24-25 Best, Laura -- View this message in context: http://r.789695.n4.nabble.com/Interper-output-from-cajorls-and-VECM-tp4639963p4647314.html Sent from the R help mailing list archive at Nabble.com.