search for: blrtest

Hello! I'm using the blrtest() function in the urca package to test cointegration relationships. Unfortunately, the hypothesis (restrictions on beta) specifies the same restriction on all cointegration vectors. Is there any possibility to specify different restrictions on the cointegration vectors? Are there any other package...

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 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 ca...

...a 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...