similar to: fractional cointegration

Dear list, Can one suggest me if there is an R function/package to estimate and simulate vector autoregressive (VAR) model allowing for the GARCH effect please? Thanks Mamush [[alternative HTML version deleted]]

Dear users, I am preparing a presentation in latex(beamer) . I would like to show parts of my plots per click. Example, consider I have two time series x and y: x<-ts(rnorm(100), start=1900,end=1999) y<-ts(rnorm(100), start=1900,end=1999) plot(x) lines(y,col=2) Then I imported this plot into latex as ".eps" file. My question is, how can i show plot of each time series separately

Hello, I am using urca package to run cointegration. I would like to find the standard error in the (normalized, Johansen) cointegration relationship. How can I do it? As far as I know, The function "cajorls" in the "urca" package provides the normalized cointegrating relationships. Nevertheless, it does not provide the standard deviation of the coefficient for each

Dear all, S+Finmetrics has a number of very specilised functions. I am particularly interested in the estimation of cointegrated VARs (chapter 12 of Zivot and Wang). In this context the functions coint() and VECM() stand out. I looked at package "dse1", but found no comparable functionality. Are there any other packages you could point me to? In general, are there efforts for

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

Hi all, Can I run a cointegrating regression, for example delta Xt=a1(Yt-1-cXt-1)+E1t and delta Yt=-b1(Yt-1-cXt-1)+E2t with R were Xt and Yt are non stationary time series at t a,b,c are parameters and E1t and E2t are error terms at t. Yt-Xt is stationary Any suggestions are welcome. Best regards, /fb -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing

Hello! I'm using the blrtest() function in the urca package to test cointegration relationships. Unfortunately, the hypothesis (restrictions on beta) specifies the same restriction on all cointegration vectors. Is there any possibility to specify different restrictions on the cointegration vectors? Are there any other packages in R using cointegration tests? Thanks and best regards. Dennis

Dear R Core Team, I am using package {urca} to do cointegration and estimate ECM model, but I have the following two problems: (1) I use ca.jo() to do cointegration first and can get the cointegration rank, alpha and beta. The next step is to test some restrictions on beta with blrtest(),bh5lrtest(), and bh6lrtest(). But none of them can add restrictions on all the cointegration

Hi - i am looking for a package with which I can perform panel cointegration tests. Old threads suggest plm and urca package, but I don't find suitable tests in these packs. Somebody knows more? best regards, Philipp -- View this message in context: http://r.789695.n4.nabble.com/panel-cointegration-tp4593443p4593443.html Sent from the R help mailing list archive at Nabble.com.

Hi, I am trying to test the cointegration among 5 time series, grouped in pairs. I would like to save in a table the cointegration vectors for the 10 tests. I used the urca package, but I dont know how to extract the data only for the cointegration vector. Thanks in advance for help ! Eduardo

Hi, Could someone please tell me the R codes for fitting VAR(p) (Vector Auto Regressive) models and doing the Johansen?s cointegration tests. TIA Aditya

Dear All, I am looking for a cointegration relationship between Spot and Future Price of commodites. The problem i am facing follows: 1. After estimating by Engle-Grranger Method, i found that the residuals are stationary at their level I (o), which is required to fulfill the cointegration test. But the autocorrelation problem arises, as DW statistics is signficantly low 0.50-0.88 for various

Hello, I tried to use urca package (R) for cointegration analysis. The data matrix to be investigated for cointegration contains 8 columns (variables). Both procedures, Phillips & Ouliaris test and Johansen's procedures give errors ("error in evaluating the argument 'object' in selecting a method for function 'summary'" respectiv "too many variables,

Hi all, I am looking for low cost online education in statistics. I am thinking of taking online classes on time series analysis and cointegration, etc. Of course, if there are free video lectures, that would be great. However I couldn't find any free video lectures at upper-undergraduate and graduate level which formally going through the whole timeseries education... That's why I would

Hi, I am trying to estimate a VECM without constant using the following code: data(finland) sjf <- finland sjf.reg<-ca.jo(sjf, type = c("eigen"), ecdet = c("none"), K = 2,spec=c("transitory"), season = NULL, dumvar = NULL) cajools(sjf.reg) While the cointegration test does not use a constant, it is used in the cajools which I do not want. I am sure I am

Dear Sir/Madam, I have used ca.jo in urca package to identify the cointegration 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,

Hi, I have a couple of questions about johansen's test, in general: 1. I was able to obtain error correction term (ect) from cajorls$rlm$model properly. According the my ca.jo object on 2-variate series, the test suggests that the integration rank is 1. Which means that my ect should be stationary. However, I did test stationariy on ect and it shows non-stationarity and my acf still shows

Hi,I'm just wondering if there is any package for testing cointegration with ADL model. I saw a bunch of packages and list of email thread. There seemed to be no such a specific method. I am following this paper on how to test using ADL but I don't have a tool. http://www.wiwi.uni-frankfurt.de/~hassler/ha-wo.pdfAny help would be really appreciated. Thank you.Taco [[alternative HTML

Hello!   I estimate vector error correction model (vecm) model. I have only one cointegratio relationship. I write :   joh.vecm.rls <- cajorls(joh.vecm, r=1) The output estimation is : Call: lm(formula = substitute(form1), data = data.mat) Coefficients:                up.d            expl.d        upd.d           r.d      ect1      -1.34e-01   4.55e+02   6.91e+00   2.43e+03 constant 

I am trying to run a conintegration analysis. I am a former user of S-Plus and understand the output of the coint and VECM output, but I am having trouble understanding the equivalent output in R. Here is what I ran > coint=ca.jo(data,constant=T,K=2,spec="longrun") > summary(coint) The first portion of the output that I did not understand [,1] [,2] [,3] y1