Displaying 1 result from an estimated 1 matches for "deltay1_t".
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delta_t
2005 Dec 20
0
Help with ca.jo and cajools (Johansen's Cointegration)
...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 understanding is that the specification of the VECM was as follows (with K=2):
deltay1 = c1 + a1*(y1_t-1-b2*y2_t-1)+ phi11*lag(deltay1_t-1) + phi12*deltay2_t-1+e1
deltay2 = c2 + a2*(y1_t-1-b2*y2_t-1)+ phi21*lag(deltay1_t-1) + phi22*deltay2_t-1+e2
My guess is that Z11 and Z12 correspond to the above phis. That c1 and c1 correspond to ZK. That b2 is -1.11 from the step before? The rest, ZKy1 and ZKy2 I can't place. Please help,...