Displaying 20 results from an estimated 700 matches similar to: "S+Finmetrics cointegration functions"
2008 Dec 16
1
Cointegration and ECM in Package {urca}
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
2005 Dec 20
0
Help with ca.jo and cajools (Johansen's Cointegration)
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
2005 Nov 19
3
cointegration rank
Dear R - helpers,
I am using the urca package to estimate cointegration relations, and I
would be really grateful if somebody could help me with this questions:
After estimating the unrestriced VAR with "ca.jo" I would like to impose
the rank restriction (for example rank = 1) and then obtain the
restricted estimate of PI to be utilized to estimate the VECM model.
Is it possible?
It
2003 Jun 10
1
Regression output labels
Hello to all-
1. When I run a regression which implements the augmented Dickey-Fuller
test, I am confused about the names given to the regressors in the output.
I understand what "xGE" stands for in a standard "lm" test involving an
independent variable GE for instance, but if I lags and or differences are
included in the model, what do the following "output" stand
2006 Jun 29
1
Cointegration Test in R
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
2007 Aug 08
2
cointegration analysis
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,
2010 Aug 23
2
Fitting VAR and doing Johansen's cointegration test in R
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
2008 Mar 20
1
Cointegration no constant
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
2004 Mar 26
0
Package update: 'urca' version 0.3-3
Dear R-list member,
an update of package 'urca' has been uploaded to CRAN (Mirror: Austria).
In the updated release unit root and cointegration tests encountered in
applied econometric analysis are implemented. The package is written in
'pure' R and utilises S4 classes.
In particular, the Johansen procedure with likelihood ratio tests for the
inclusion of a linear trend,
2008 Aug 12
1
Threshold vector error correction models
Hi,
is anyone aware of estimation functions for threshold vector error correction / threshold cointegration models?
I didn't find anything for R using RSeek or Google.
Thanks a lot for any pointers,
Werner
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2010 Aug 30
1
Johansen test
Hi all, I am working on exporting "Johansen test statistics" (Johansen test:
"ca.jo" in package "urca")to Excel. The problem is that the function output
is not a number, but like this:
#####################################################
# Johansen-Procedure Unit Root / Cointegration Test #
#####################################################
The value of the
2009 Aug 31
2
online classes or online eduction in statistics? esp. time series analysis and cointegration?
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
2012 Apr 27
2
panel 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
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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.
2009 Sep 02
0
Cointegration/urca package
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
2012 Feb 05
1
fractional cointegration
Dear folk,
I am stempting to estimate a vector error correction model using a
seemingly fractionally integrated multivariate time series. The
*fracdiff *package
provides tools to estimate degree of fractional integration. But
*fracdiff *can't
help me to:
1. test equality of two degrees of fractional integration, say d1=d2?
2. estimate a multivariate cointegrating error correction model,
2011 Jan 13
2
standard errors in johansen test
Dear all,
I have a question. How to get the standard errors of alpha and beta
when using "ca.jo" to test cointergration?
In the paper by Bernhard Pfaff and Kronberg im Taunus “VAR, SVAR and SVEC
Models: Implementation Within R Package” pp.24-25. The standard errors are
listed on the table 5 following the code:
R> vecm.r1 <- cajorls(vecm, r = 1)
I tried this in my Mac R, but
2011 Apr 03
0
Standard Error for Cointegration Results
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,
2012 Aug 21
1
Trace values in the function ca.jo()
Hi all R users,
I'm trying to replicate the same results that are given in a published
article after been granted
the same data that the authors use.
I'm having problems to determine the cointegration rank of my data set using
the Johnasen's trace test.
This trace test is already programmed in the package ur.ca and can be found
in the function
ca.jo().
After I run the ca.jo()
2004 Mar 28
1
"R" and "S-plus"
Hi,
I apologize in advance if this is the wrong area to post this message. I would like to know if there is an "R" equivalent for the "S+finMetrics" package? I'd like to be able to use "R" to go through the examples provided in the book "Modeling Financial Time-Series with S-Plus" (E. Zivot and J. Wang). I was told that "R" and
2007 Aug 05
1
Understanding of Johansen test.
Dear all,
I am struggling to understand the johansen test procedure in the context of co-integration in time series. Yes I understand that this forum is not directly statistics related but still I am posting here hoping that I would get som help.
The error correction representation of a VAR[p] model can be written as:
Delta y[t] = A[0]*y[t-1] + A[1]*Delta y[t-1] +..............