search for: cointegrated

...ng restriction on beta or on both alpha and beta at the same time. It looks like that command cajo.test() can do this estimation. It shows up in the package but there is no example there. I tried to find some examples but I cannot find any even if I have read the book Analysis of Integrated and Cointegrated Time Series with R. Can you show me how to use this command or some examples? Thank you very much in advance. Best wishes. Christina [[alternative HTML version deleted]]

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

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 best regards. Dennis

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

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'" respectiv "too many variables,

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 at Nabble.com.

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 package...

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 -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing

Dear folk, I am stempting to estimate a vector error correction 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,

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 VECM model. Is it possible? It

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, as DW statistics is signficantly low 0.50-0.88 for various

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

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 doing...

...default(mt, mf, contrasts) : la variable 'AXAP' est convertie en facteur 4: In lm.fit(x, y, offset = offset, singular.ok = singular.ok, ...) : les arguments surnum?raires time sont ignor?s. Thanks for your help! -- View this message in context: http://n4.nabble.com/Error-lm-fit-pairs-cointegrated-trading-tp1693370p1693370.html Sent from the R help mailing list archive at Nabble.com.

...ple 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? Thanks to all for your time and consideration.

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.Taco [[alternative HTML

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

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