similar to: Question regarding Johansen's cointegration testing

Hi,I obtained the ect term from cajorls in urca. I found a result that would like to obtain some explanation here. My setting is that I have 2 variate time series. I use ca.jo to perform Johansen test. 1. I found that sometimes, in the case where the ca.jo test statistics suggest that I have 1 relationship. After I investigate the ect obtained from cajorls (with r=1), the ect series fails unit

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

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

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,

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,

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

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

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 

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

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

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

Dear Mr. Matthieu Stigler i so excited for your package 'tsDyn'. firstly introduce myself, i student at Gadjah Mada University,Indonesia. i'am new user of R and applying it for solving Bi-Variate ( interest rate and inflation ) with threshold vector error correction model. now, i writing my final examination about threshold vector error correction model and i use refference from paper

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

Hi all R users, I'm finding it a bit hard to interpret the output from the cajorls and VECM function. I'm trying to model a VECM model with cointegration rank of 6, and therefore I get the varibles ECT1, ECT2... ECT6 in my output. Are these representing the estimates for my loading matrix or also denoted the "alpha" matrix? Thanks in advanced Emil -- View this message in

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,

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

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

Good day R-listers, I'm currently working on a panel data analysis (N=17, T=5), in order to check for the spurious regression problem, i have to ?test for stationarity but i've read somewhere ?that i needn't to test for it as ?my T<10 , what do you think? if yes ?is there any other test ?i have to ?perform in such case (a kind of cointegration test for small T?) Any hint would be

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

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