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blrtest
2004 Mar 26
0
Package update: 'urca' version 0.3-3
...ha matrices, as
well as the data used by Johansen, S. and Juselius, K. (1990) in their
seminal paper have been added.
Where applicable web-links to the original papers/articles and/or data
sources have been included to the help files, too.
Contents (abbreviated list:
***************************
ablrtest Likelihood ratio test for restrictions on
alpha and beta
alrtest Likelihood ratio test for restrictions on
alpha
blrtest Likelihood ratio test for restrictions on beta
ca.jo Johansen Pro...
2008 Dec 16
1
Cointegration and ECM in Package {urca}
Dear R Core Team,
I am using package {urca} to do cointegration and estimate ECM model,
but I have the following two problems:
(1) I use ca.jo() to do cointegration first and can get the
cointegration rank, alpha and beta. The next step is to test some
restrictions on beta with blrtest(),bh5lrtest(), and bh6lrtest(). But
none of them can add restrictions on all the cointegration