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unrestricted
2005 Nov 19
3
cointegration rank
Dear R - helpers,
I am using the urca package to estimate cointegration relations, and I
would be really grateful if somebody could help me with this questions:
After estimating the unrestriced VAR with "ca.jo" I would like to impose
the rank restriction (for example rank = 1) and then obtain the
restricted estimate of PI to be utilized to estimate the VECM model.
Is it possible?
It seems to me that the function "cajools" estimates the VECM without
the restrictions....