Displaying 2 results from an estimated 2 matches for "alrtest".
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lrtest
2013 May 28
1
The weak exogeneity test in R for the Error Correction Model?
...s.
For the single equation approach of ECM, there is a requirement of the weak exogeneity. How could I carry out the test to see if there is weak exogeneity in the above system?
I read the book "Bernhard-Analysis of Integrated and Cointegrated Time Series" where in section 8.1.3 it uses alrtest() for the weak exogeneity test. But that is for the vector ECM, where y is of five components, where in my example, y is a scalar, only one component. What would be the best way for me to test the weak exogeneity for the above approach ECM?
http://books.google.com/books?id=ca5MkRbF3fYC
Thanks ver...
2004 Mar 26
0
Package update: 'urca' version 0.3-3
...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 Procedure for VECM
ca.jo-class Representation of class 'ca.jo'
ca.po...