| alrtest {urca} | R Documentation |
This function estimates a restricted VAR, where the restrictions are base upon \bold{α}, i.e. the loading vectors. The test statistic is distributed as χ^2 with r(p-m) degrees of freedom, with m equal to the columns of the restricting matrix \bold{A}.
alrtest(z, A, r)
z |
An object of class |
A |
The (p \times m) matrix containing the restrictions on \bold{α}. |
r |
The count of cointegration relationships; |
The orthogonal matrix to \bold{A} can be accessed as
object@B. The restricted \bold{α} matrix is
normalised with respect to the first variable.
An object of class cajo.test.
Bernhard Pfaff
Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration – with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 2, 169–210.
Johansen, S. (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica, Vol. 59, No. 6, 1551–1580.
ca.jo, blrtest, ablrtest,
cajo.test-class, ca.jo-class and
urca-class.
data(denmark)
sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
sjd.vecm <- ca.jo(sjd, ecdet = "const", type="eigen", K=2, spec="longrun",
season=4)
DA <- matrix(c(1,0,0,0), c(4,1))
summary(alrtest(sjd.vecm, A=DA, r=1))