search for: vec2var

...ts 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:" When one hits <Return>, the next pair of IRF graphs appears in Quart...

...and cajorls to estimate the vecm. Althought both return the coefficients for long run relationship (or ect1 in cajorls), I am unable to find the standard error and t statistics. I spend some weeks to search around. I did find some similar enquiries before and answer provided Prof. Pfaff is to use vec2var. However, I still can't find corresponding info. after using vec2var function. Highly appreciate if someone could advise by using a step by step with codes. For example, in the paper of ""VAR, SVAR and SVEC Models: Implementation Within R Package vars", how to get the t-statistic...

...I get estimation of AIC in this model? 3. I also get a VECM model v1=VECM(y, lag=16,beta=NULL, estim="ML") what does ETC mean in the output? and what is a number of cointegrating relationships? I want to make forecast by VECM. j=ca.jo(y,K=16,type='trace',season = NULL) j.var=vec2var(j) predict(j.var,n.ahead=80) Is this a correct way to predict VECM in R? Could anyone help me? Thank you very much -- View this message in context: http://r.789695.n4.nabble.com/VAR-and-VECM-in-multivariate-time-series-tp3995951p3995951.html Sent from the R help mailing list archive at Nabb...

Dear R users; I'm using ca.jo for a VECM model. Is there a way that I can get sd/p-value to see whether coefficients estimated are statistical significant? Thank you Yours, Yihsu [[alternative HTML version deleted]]

Hi, I'm using package "vars" and I'm trying to extract the algorithm that function "predict" contained in that package in order to understand how does it work. When I type function "VAR" then all its algorithm appears in R, however if I try to do the same with "predict" nothing happens...Is there any possible way to extract the algorithm? Thanks a

Dear members, I estimated a vector error correction model (VECM) using the "ca.jo" function in package "urca". I need to simulate the estimated model using R. I am aware how to simulate a VAR(p) model. Since the VECM is in difference form, I can't modify the VAR simulation codes to VECM. May one help me in this regard please? Thanks Mamush [[alternative HTML version

Hello everyone, I have estimated a VEC using functions of package urca. Now I need to simulate several trajectories of the variables of the model based in the information of the model. To do that first I converted the VEC to a VAR using vec2var (from package vars) and then I converted de VAR to an ARMA using ARMA function of package dse. The idea is to use the function simulate (from package dse), to simulate the ARMA from the VEC using the initial values of the variables of the model, the exogenous variables in the simulation period and...