Displaying 1 result from an estimated 1 matches for "bh5lrtest".
2008 Dec 16
1
Cointegration and ECM in Package {urca}
...ear 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 equations at
the same time if have more than one cointegration rank. For example,
there are three cointegration in my case. I want to add three different
restrictions on them at the same time. What can I do?
(2)...