Displaying 4 results from an estimated 4 matches for "juselius".
2004 Mar 26
0
Package update: 'urca' version 0.3-3
...econometric analysis are implemented. The package is written in
'pure' R and utilises S4 classes.
In particular, the Johansen procedure with likelihood ratio tests for the
inclusion of a linear trend, restrictions on beta and/or alpha matrices, as
well as the data used by Johansen, S. and Juselius, K. (1990) in their
seminal paper have been added.
Where applicable web-links to the original papers/articles and/or data
sources have been included to the help files, too.
Contents (abbreviated list:
***************************
ablrtest Likelihood ratio test for restrictions on...
2004 Mar 25
1
S+Finmetrics cointegration functions
Dear all,
S+Finmetrics has a number of very specilised functions. I am
particularly interested in the estimation of cointegrated VARs (chapter
12 of Zivot and Wang). In this context the functions coint() and
VECM() stand out. I looked at package "dse1", but found no comparable
functionality. Are there any other packages you could point me to? In
general, are there efforts for
2011 Apr 16
1
cajolst
...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 Juselius data and procedure, that is
described by dr. B. Pfaff ("Analysis of Integrated and Co-integrated Time
Series with R"):
> example(ca.jo)
...
[data, formulas and other related stuff]
...
> lue.vecm<-summary(cajolst(sjd,season=4))
> slotNames(lue.vecm)
[1] "classname"...
2008 Dec 16
1
Cointegration and ECM in Package {urca}
Dear R Core Team,
I am using package {urca} to do cointegration and estimate ECM model,
but I have the following two problems:
(1) I use ca.jo() to do cointegration first and can get the
cointegration rank, alpha and beta. The next step is to test some
restrictions on beta with blrtest(),bh5lrtest(), and bh6lrtest(). But
none of them can add restrictions on all the cointegration