Displaying 20 results from an estimated 500 matches similar to: "ca.jo"
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 29
1
question of VECM restricted regression
Dear Colleague
I am trying to figure out how to use R to do OLS restricted VECM regression. However, there are some notation I cannot understand.
Please tell me what is 'ect', 'sd' and 'LRM.dl1 in the following practice:
#OLS retricted VECM regression
data(denmark)
sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
sjd.vecm<-
2011 Nov 06
1
VAR and VECM in multivariate time series
Hello to everyone!
I am working on my final year project about multivariate time series. There
are three variables in the multivariate time series model.
I have a few questions:
1. I used acf and pacf plot and find my variables are nonstationary. But in
adf.test() and pp.test(), the data are stationary. why?
2.I use VAR to get a model. y is the matrix of data set and I have made a
once
2012 Aug 10
1
Interper output from cajorls and VECM
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
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2007 Oct 13
2
a question on impulse responses
Dear R users,
I am using the vars package to calculate the impulse response functions and the forecast error variance decomposition of a VAR model. Unfortunately I do not know whether these functions assume unit or one standard deviation shocks. I tried to look into the code of these functions, but in vain: neither irf, nor vars::irf, nor vars:::irf output the code of the functions. Does someone
2012 Mar 07
1
VECM simulation
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
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2010 Nov 30
3
saving multiple panes to PNG
After searching multiple combinations of keywords over the past two
days and downloading n R graphics tutorials, I have not been able to
find anything online or in my R books about how to save multiple plot
panes to PNG.
Specifically, I am using the irf() function in the vars package to
generate plots of Impulse Response Functions:
> x.data <-
2012 Jul 09
1
Using loops to create matrices where the variables is called with $
Hi there,
I am trying to make a VECM model which does a loop to pull of long run
impact coefficients. The problem is that to calculate these for a,b,c I use
the irf() function and they are stored in irf$a, irf$b, irf$c. What I would
really like is to be able to call irf$[variablename(x)] where I can loop
through i:n for x and it will pull out the right variable. This is a bit of
a waste of time
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
2007 Dec 09
3
editor under MAC system
Dear R-user;
I recently switched from PC to MAC. Is there a compatible editor as
Win-editor with package RWinEdit for MAC?
Thanks
Yihsu Chen
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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()
2008 Feb 01
1
calculation fraction/ratio
Dear R users
I wonder if there is a quick way to calculate the ratio/fraction of a
list/data frame. For example, if I have a data frame with two fields:
"Index" and "A". I would like to know the fractions of A's within the same
"Index". That is, for Index =1, three fractions will be "1/(1+2+3)=0.17",
"2/(1+2+3)=0.33", and
2011 Nov 11
1
Fwd: Use of R for VECM
----- Forwarded Message -----
From: vramaiah at neo.tamu.edu
To: "bernhard pfaff" <bernhard.pfaff at pfaffikus.de>
Sent: Friday, November 11, 2011 9:03:11 AM GMT -06:00 US/Canada Central
Subject: Use of R for VECM
Hello Fellow R'ers
I am a new user of R and I am applying it for solving Bi-Variate (Consumption and Output) VECM with Co-Integration (I(1)) with three lags on
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
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,
2006 May 16
2
split the data.frame
Dear R folks:
I wonder anyone has a elegent way of doing what I need to do.
I have a data frame called with four columns: V1, V2, A1 and A2:
V1 V2 A1 A2
A B 1.2 2.0
A D 1.2 4.0
A C 2.4 2.2
What I need to do is to convert it into the following data frame with a new column x, where x is just the stacked up of A1 and A2 placed with respective V1 and V2 in the first two
2004 Mar 10
3
How to use MLE-class?
Hi there,
I had successfully use "MLE" function to solve my problem. Is there
anyone knows how to get related information? i.e., value of likelihood
function, information matrix, and etc. I know MLE-class can do it but I
can not find any information tells me how to do it.
Thanks a billions,
Yihsu
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2006 May 18
2
create a vector
Dear R users:
I have an elementary question: how to creat a vector of [A1, A2, A3...... A300]? I know c(1:300) would give 1, 2, 3, ...., 300 but not sure how to attch a A to each element.
Thank you
Yihsu Chen
The Johns Hopkins University
2011 Mar 30
1
VECM with UNRESTRICTED TREND
Dear All,
My question is:
how can I estimate VECM system with "unrestricted trend" (aka "case 5")
option as a deterministic term?
As far as I know, ca.jo in urca package allows for "restricted trend"
only [vecm
<- ca.jo(data, type = "trace"/"eigen", ecdet = "trend", K = n, spec =
"transitory"/"longrun")].
2006 May 19
1
Writing to a file with fixed precision
Dear R users;
A follow-up question regarding writing to a file with fixed precision:
Assuming for each column of x, I would like to have a different format, then I modify the code as:
x.fmt <- apply(x, 1, function(x) sprintf("%.14f %.10f %2.5f", x))
where three different formats are %.14f %.10f %2.5f.
The error message I got is "Error in sprintf(fmt, ...) : too few