Displaying 1 result from an estimated 1 matches for "vecm1".
Did you mean:
vec1
2011 Nov 11
1
Fwd: Use of R for VECM
...I(1)) with three lags on Consumption and Output expressed aa lags of differences. R Code and one segment fo the output (other parts of the output are repeatitive) are as follows.
> us=read.table("usdata.1995-2009.txt",header=T)
> sjd<-us[,c("Y","C")]
> sjd.vecm1 <- ca.jo(sjd, ecdet='const', type="eigen", K=3, spec="longrun",
+ season=4)
> sjd.vecm2 <- ca.jo(sjd, ecdet='const', type="eigen", K=3, spec="transitory",
+ season=4)
> sjd.vecm.ols1 <- cajools(sjd.vecm1)
> sjd.vecm.ols2 <...