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fitted
2002 Sep 09
0
Function: VECM (Johansen)
...AR-order is.
ira: integer, number of periods for the impulse response
function.
Output:
ALPHA: vector of constants.
PSI0: Error-Correction-Matrix
PSI: Array of matrices for the lagged differences of y.
OMEGA: Variance/Covariance matrix.
ENDOG: Matrix of endogenous variables (1st differences).
FITTEDD: Fitted values in 1st differences.
FITTEDL: Fitted values in levels.
IRA: Array of Impulse Responses
Note, this function runs only in interactive mode: the user has to supply
the number cointegrating vectors after the function returns the trace and
rank statistic.
Note, for Non-Windows users adju...