search for: cointegr

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 restr...

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...

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 packages in R using cointegration tests? Thanks and be...

Hi all, I am looking for low cost online education in statistics. I am thinking of taking online classes on time series analysis and cointegration, etc. Of course, if there are free video lectures, that would be great. However I couldn't find any free video lectures at upper-undergraduate and graduate level which formally going through the whole timeseries education... That's why I would like to enroll in some sort of online deg...

Hello, I tried to use urca package (R) for cointegration analysis. The data matrix to be investigated for cointegration contains 8 columns (variables). Both procedures, Phillips & Ouliaris test and Johansen's procedures give errors ("error in evaluating the argument 'object' in selecting a method for function 'summary'&q...

Hi - i am looking for a package with which I can perform panel cointegration tests. Old threads suggest plm and urca package, but I don't find suitable tests in these packs. Somebody knows more? best regards, Philipp -- View this message in context: http://r.789695.n4.nabble.com/panel-cointegration-tp4593443p4593443.html Sent from the R help mailing list archive a...

Dear all, S+Finmetrics has a number of very specilised functions. I am particularly interested in the estimation of cointegrated VARs (chapter 12 of Zivot and Wang). In this context the functions coint() and VECM() stand out. I looked at package "dse1", but found no comparable functionality. Are there any other packages you could point me to? In general, are there efforts for replicating within one pack...

Hi all, Can I run a cointegrating regression, for example delta Xt=a1(Yt-1-cXt-1)+E1t and delta Yt=-b1(Yt-1-cXt-1)+E2t with R were Xt and Yt are non stationary time series at t a,b,c are parameters and E1t and E2t are error terms at t. Yt-Xt is stationary Any suggestions are welcome. Best regards, /fb -.-.-.-.-.-.-.-.-.-.-.-.-...

...ion model using a seemingly fractionally integrated multivariate time series. The *fracdiff *package provides tools to estimate degree of fractional integration. But *fracdiff *can't help me to: 1. test equality of two degrees of fractional integration, say d1=d2? 2. estimate a multivariate cointegrating error correction model, like* ca.jo *function in* urca* does for standard cointegration. Can anyone suggest me if there is a way to do these in R please? Thanks in advance Mamush. [[alternative HTML version deleted]]

Dear R - helpers, I am using the urca package to estimate cointegration relations, and I would be really grateful if somebody could help 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...

Hi, I am trying to test the cointegration among 5 time series, grouped in pairs. I would like to save in a table the cointegration vectors for the 10 tests. I used the urca package, but I dont know how to extract the data only for the cointegration vector. Thanks in advance for help ! Eduardo

Hi, Could someone please tell me the R codes for fitting VAR(p) (Vector Auto Regressive) models and doing the Johansen?s cointegration tests. TIA Aditya

Dear All, I am looking for a cointegration relationship between Spot and Future Price of commodites. The problem i am facing follows: 1. After estimating by Engle-Grranger Method, i found that the residuals are stationary at their level I (o), which is required to fulfill the cointegration test. But the autocorrelation problem arises,...

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 score, the latest news, or you ne...

Hi, I can plot the ca.jo package to view the cointegrated relationship for each eigen value. Or I can use the normalized eigen vector to reconstruct the cointegrated relationship series. However, since the package can plot that for me, I wonder is there any specific slot/method in the class from where I can invoke to get this relationship instead of d...

Hello guys, I'm trying to do a pairs trading cointegration analysis on two stocks (AXAP and AXANY), but I get an error that I don't understand... Here's my code: setwd("S:/Users/Alexis/Desktop/Essai") #chemin du dossier contenant les donn?es donnees <- read.csv("Data_R.csv", head=T, sep=";", stringsAsFactor...

...;xD.GE" "xD.lag(diff(x), -i)GE" "xD.D.lag(diff(x), -i)GE" Thanks for the clarifications -- I don't want to "misspeculate" on the actual interpretations, here... Also... 2. When an Engle-Granger test is run on multiple independent variables, only one cointegration vector is returned. Can one tell "which vector" -- or what two variables' relationship -- is being identified for the R output. Likewise, if I run a Johansen test, does R "tell me" specifically which pairs of variables are cointegrated or do I just get the rank? Th...

Hi,I'm just wondering if there is any package for testing cointegration with ADL model. I saw a bunch of packages and list of email thread. There seemed to be no such a specific method. I am following this paper on how to test using ADL but I don't have a tool. http://www.wiwi.uni-frankfurt.de/~hassler/ha-wo.pdfAny help would be really appreciated. Thank you.T...

...ationarity and my acf still shows high and long autocorrelation. How should I interpret the result from Johansen then? 2. In some cases for 2-variate series, I found that Johansen testing shows that my test statistics are lower than the 5% for both r <= 0 and r <= 1. That means I have 1 or 0 cointegration relationship? How should I interpret this result? Thank you, - adschai [[alternative HTML version deleted]]

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 consta...