search for: cajorl

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2012 Aug 10
1
Interper output from cajorls and VECM
Hi all R users, I'm finding it a bit hard to interpret the output from the cajorls and VECM function. I'm trying to model a VECM model with cointegration rank of 6, and therefore I get the varibles ECT1, ECT2... ECT6 in my output. Are these representing the estimates for my loading matrix or also denoted the "alpha" matrix? Thanks in advanced Emil -- View this...
2011 Jan 13
2
standard errors in johansen test
...andard errors of alpha and beta when using "ca.jo" to test cointergration? In the paper by Bernhard Pfaff and Kronberg im Taunus “VAR, SVAR and SVEC Models: Implementation Within R Package” pp.24-25. The standard errors are listed on the table 5 following the code: R> vecm.r1 <- cajorls(vecm, r = 1) I tried this in my Mac R, but failed. Thanks. -- Best Regards Walter an ACCA Affiliate (Association of Chartered Certified Accountants) I COME FROM CHINA 我有一所房子,面朝大海,春暖花开 [[alternative HTML version deleted]]
2007 Jun 06
0
Question about Johansen result
Hi,I obtained the ect term from cajorls in urca. I found a result that would like to obtain some explanation here. My setting is that I have 2 variate time series. I use ca.jo to perform Johansen test. 1. I found that sometimes, in the case where the ca.jo test statistics suggest that I have 1 relationship. After I investigate the ect o...
2011 Apr 03
0
Standard Error for Cointegration Results
Dear Sir/Madam, I have used ca.jo in urca package to identify the cointegration and cajorls to estimate the vecm. Althought both return the coefficients for long run relationship (or ect1 in cajorls), I am unable to find the standard error and t statistics. I spend some weeks to search around. I did find some similar enquiries before and answer provided Prof. Pfaff is to use vec2var. H...
2011 Apr 29
1
question of VECM restricted regression
...in the following practice: #OLS retricted VECM regression data(denmark) sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")] sjd.vecm<- ca.jo(sjd, ecdet = "const", type="eigen", K=2, spec="longrun", season=4) sjd.vecm.rls<-cajorls(sjd.vecm,r=1) summary(sjd.vecm.rls$rlm) sjd.vecm.rls$beta Response LRM.d : Call: lm(formula = substitute(LRM.d), data = data.mat) Residuals: Min 1Q Median 3Q Max -0.027598 -0.012836 -0.003395 0.015523 0.056034 Coefficients: Estimate Std. Error t value Pr(...
2007 Jun 02
0
Question regarding Johansen's cointegration testing
Hi, I have a couple of questions about johansen's test, in general: 1. I was able to obtain error correction term (ect) from cajorls$rlm$model properly. According the my ca.jo object on 2-variate series, the test suggests that the integration rank is 1. Which means that my ect should be stationary. However, I did test stationariy on ect and it shows non-stationarity and my acf still shows high and long autocorrelation. How shou...
2007 Jul 09
1
ca.jo
Dear R users; I'm using ca.jo for a VECM model. Is there a way that I can get sd/p-value to see whether coefficients estimated are statistical significant? Thank you Yours, Yihsu [[alternative HTML version deleted]]
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
2009 Sep 02
0
Cointegration/urca package
Hello!   I estimate vector error correction model (vecm) model. I have only one cointegratio relationship. I write :   joh.vecm.rls <- cajorls(joh.vecm, r=1) The output estimation is : Call: lm(formula = substitute(form1), data = data.mat) Coefficients:                up.d            expl.d        upd.d           r.d      ect1      -1.34e-01   4.55e+02   6.91e+00   2.43e+03 constant  -4.90e+01   1.82e+05   2.46e+03   9.54e+05 up.dl1   ...
2012 Jan 15
0
A question about cointegration - How can we find the standard deviation in the cointegration relationship ?
Hello, I am using urca package to run cointegration. I would like to find the standard error in the (normalized, Johansen) cointegration relationship. How can I do it? As far as I know, The function "cajorls" in the "urca" package provides the normalized cointegrating relationships. Nevertheless, it does not provide the standard deviation of the coefficient for each variable in the relationship. E-View does it. If anyone can provide the info or some example codes regarding this iss...