search for: cajool

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2008 Mar 20
1
Cointegration no constant
Hi, I am trying to estimate a VECM without constant using the following code: data(finland) sjf <- finland sjf.reg<-ca.jo(sjf, type = c("eigen"), ecdet = c("none"), K = 2,spec=c("transitory"), season = NULL, dumvar = NULL) cajools(sjf.reg) While the cointegration test does not use a constant, it is used in the cajools which I do not want. I am sure I am doing something wrong - what should I change? Any help very much appreciated! Ralph _________________________________________________________________ Need to know the sc...
2005 Dec 20
0
Help with ca.jo and cajools (Johansen's Cointegration)
...[,2] [,3] y1 1.000000 1.000000 1.000000 y2 -1.114734 -2.461872 -2.216456 constant 1.364641 7.473149 7.331977 >From this i think that y1 - 1.143*y2 + 1.36 ~ I(0) What i don't understand is where columns [,2] and [,3] come into play. Now i run the following: > cajools(coint) Call: lm(formula = z at Z0 ~ z at Z1 + z at ZK - 1) Coefficients: [,1] [,2] z at Z11 0.028114 0.065968 z at Z12 0.371630 0.183797 z at ZKy1 -0.011724 -0.002647 z at ZKy2 0.012282 0.001827 z at ZK -0.012430 0.001482 My understand...
2011 Nov 11
1
Fwd: Use of R for VECM
...uot;Y","C")] > sjd.vecm1 <- ca.jo(sjd, ecdet='const', type="eigen", K=3, spec="longrun", + season=4) > sjd.vecm2 <- ca.jo(sjd, ecdet='const', type="eigen", K=3, spec="transitory", + season=4) > sjd.vecm.ols1 <- cajools(sjd.vecm1) > sjd.vecm.ols2 <- cajools(sjd.vecm2) > summary(sjd.vecm.ols1) Response Y.d : Call: lm(formula = substitute(Y.d), data = data.mat) Residuals: Min 1Q Median 3Q Max -0.0049787 -0.0012948 0.0000703 0.0009653 0.0063192 Coefficients:...
2005 Nov 19
3
cointegration rank
...me with this questions: After estimating the unrestriced VAR with "ca.jo" I would like to impose the rank restriction (for example rank = 1) and then obtain the restricted estimate of PI to be utilized to estimate the VECM model. Is it possible? It seems to me that the function "cajools" estimates the VECM without the restrictions. Did I miss something? How is it possible to impose them? Thanks a lot in advance! Carlo
2007 Apr 09
1
How to solve differential and integral equation using R?
Hello, I want to know if there are some functions or packages to solve differential and integral equation using R. Thanks. Shao chunxuan. [[alternative HTML version deleted]]