search for: ecdet

Hi all, I have a newbie question: If I have a function with the following documentation: ca.jo(x, type = c("eigen", "trace"), ecdet = c("none", "const", "trend"), K = 2, spec=c("longrun", "transitory"), season = NULL, dumvar = NULL) Let's take "type" as an example... if I omit this parameter when calling the function, what's going to be the default value fo...

...n Consumption and Output expressed aa lags of differences. R Code and one segment fo the output (other parts of the output are repeatitive) are as follows. > us=read.table("usdata.1995-2009.txt",header=T) > sjd<-us[,c("Y","C")] > sjd.vecm1 <- ca.jo(sjd, ecdet='const', type="eigen", K=3, spec="longrun", + season=4) > sjd.vecm2 <- ca.jo(sjd, ecdet='const', type="eigen", K=3, spec="transitory", + season=4) > sjd.vecm.ols1 <- cajools(sjd.vecm1) > sjd.vecm.ols2 <- cajools(sjd.vecm2) &g...

...y, I am using the irf() function in the vars package to generate plots of Impulse Response Functions: > x.data <- cbind(na.omit(returns(p[,2])),na.omit(returns(n[,2]))) > colnames(x.data) <- c("p.ret","n.ret") > x.jo <- ca.jo(x.data,type="trace",ecdet="none",spec="transitory") > x.var <- vec2var(x.jo) > x.irf <- irf(x.var,n.ahead=30) > plot(x.irf) This results in a plot containing a pair of IRF graphs in Quartz and the following message in the Console: "Hit <Return> to see next plot:" Wh...

...],x2[i])) #this is a list of 12 couples of time series I am using to perform a test } # that compares them 2 by 2 # ################# #trace statistic test<-data.frame() cval<-array( , dim=c(2,3,12)) for (i in 2:12){ for (k in 1:2){ for (j in 1:3){ result[k,j,i]<- ((ca.jo(data.frame(x[i]),ecdet="none",type="trace", spec="longrun",K=2))@cval[k,j]) }}} I have a problem in collecting the results of a test. The function ca.jo creates an object with various attributes, one of which is the "cval" that i can access through @cval. The attribute cval...

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 appreci...

...ll, My question is: how can I estimate VECM system with "unrestricted trend" (aka "case 5") option as a deterministic term? As far as I know, ca.jo in urca package allows for "restricted trend" only [vecm <- ca.jo(data, type = "trace"/"eigen", ecdet = "trend", K = n, spec = "transitory"/"longrun")]. Obviously, I don't have to do this in urca, so if another package gives the possibility, please let me know too! Thanks in advance! Greg [[alternative HTML version deleted]]

...are some notation I cannot understand. Please tell me what is 'ect', 'sd' and 'LRM.dl1 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...

Hello Anyone know how can I calculate the value of the beta parameter when I know the number of cointegrating relationships between two variables. I mean, I using the procedure: ca.jo I do the following: summary (ca.jo (UR [, c (2.52)], type = "trace" ECDET = "trend", K = 2, spec = "longrun")) given that there is a cointegration relationship as I can get the values of B restricted? There is an object "V" for that feature but I can not apply. Thank in advance [[alternative HTML version deleted]]

Dear R users, I am quite new to R, so most of the problems I've encountered working with it are technical, absurd or simple things. Sorry. Despite this, I am struggling with cajolst function for a day and still nothing. The problem is that I can't get an estimate for the break point (which is in the slot "bpoint") by using cajolst function. Finally, I've tried Johansen and

hey there! The object 'cit' contains: > cit ##################################################### # Johansen-Procedure Unit Root / Cointegration Test # ##################################################### The value of the test statistic is: 5.3484 9.0681 10.6433 --------------- I want R to save the value 5.3484 in a new object. I am used to use the command x=cit[a] where a

Dear all, I have a question. How to get the standard 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