Displaying 1 result from an estimated 1 matches for "zky2".
Did you mean:
sky2
2005 Dec 20
0
Help with ca.jo and cajools (Johansen's Cointegration)
...here 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-1)+ phi21*lag(deltay1_t-1) + phi22*...