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2012 Aug 10
1
Interper output from cajorls and VECM
Hi all R users,
I'm finding it a bit hard to interpret the output from the cajorls and VECM
function. I'm trying to model a VECM model with cointegration rank of 6, and
therefore I get the varibles ECT1, ECT2... ECT6 in my output. Are these
representing the estimates for my loading matrix or also denoted the "alpha"
matrix?
Thanks in advanced
Emil
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