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cointegration
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 ...