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vec2
2011 Nov 11
1
Fwd: Use of R for VECM
...ther 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 <- cajools(sjd.vecm2)
> summary(sjd.vecm.ols1)
Response Y.d :
Call:
lm(formula = substitute(Y.d), data = data.mat)
Res...