R help - Oct 2012 - Diagnostic testing in a VEC

Hi everyone,

I'm using the Johansen framework to determine a VEC using package urca. I
have estimated the corresponding VEC using likelihood ratio test for
restrictions on alpha, beta or both and I have generated objects of the
class cajo.test. Now I want to diagnostic tests in the model,
like heteroskedasticity test, residuals normality and serial
autocorrelation, but I cannot find the way to do it in objects like the one
I have. How can I do it? what packages/methods I may use? Do I have to
transform this object in other object to do it easily?

I would appreciate if someone could help me with this issue.

Thank you!

-- 
Laura Catalina Echeverri Guzmán

	[[alternative HTML version deleted]]

Hello Laura,

you convert your VEC model to its levl-VAR representation and employ the
diagnostic tests you mentioned. This can be accomplished with the
functions/methods contained in the package 'vars'. You might want to
have a look at the vignette of the latter package.

Best,
Bernhard

-----Urspr?ngliche Nachricht-----
Von: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] Im
Auftrag von Laura Catalina Echeverri Guzm?n
Gesendet: Montag, 8. Oktober 2012 17:34
An: r-help at r-project.org
Betreff: [R] Diagnostic testing in a VEC

Hi everyone,

I'm using the Johansen framework to determine a VEC using package urca. I
have estimated the corresponding VEC using likelihood ratio test for
restrictions on alpha, beta or both and I have generated objects of the class
cajo.test. Now I want to diagnostic tests in the model, like heteroskedasticity
test, residuals normality and serial autocorrelation, but I cannot find the way
to do it in objects like the one I have. How can I do it? what packages/methods
I may use? Do I have to transform this object in other object to do it easily?

I would appreciate if someone could help me with this issue.

Thank you!

--
Laura Catalina Echeverri Guzm?n

	[[alternative HTML version deleted]]

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