search for: zky1

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2005 Dec 20
0
Help with ca.jo and cajools (Johansen's Cointegration)
...) What i don't understand is where columns [,2] and [,3] come into play. Now i run the following: > cajools(coint) Call: lm(formula = z at Z0 ~ z at Z1 + z at ZK - 1) Coefficients: [,1] [,2] z at Z11 0.028114 0.065968 z at Z12 0.371630 0.183797 z at ZKy1 -0.011724 -0.002647 z at ZKy2 0.012282 0.001827 z at ZK -0.012430 0.001482 My understanding is that the specification of the VECM was as follows (with K=2): deltay1 = c1 + a1*(y1_t-1-b2*y2_t-1)+ phi11*lag(deltay1_t-1) + phi12*deltay2_t-1+e1 deltay2 = c2 + a2*(y1_t-1-b2*y2_t-...