| blrtest {urca} | R Documentation |
This function estimates a restricted VAR, where the restrictions are base upon \bold{β}, i.e. the cointegration vectors. The test statistic is distributed as χ^2 with r(p-s) degrees of freedom, with s equal to the columns of the restricting matrix \bold{H}.
blrtest(z, H, r)
z |
An object of class |
H |
The (p \times s) matrix containing the restrictions on \bold{β}. |
r |
The count of cointegrating relationships; |
Please note, that in the case of nested hypothesis, the reported p-value should be adjusted to r(s1-s2) (see Johansen, S. and K. Juselius (1990)).
An object of class cajo.test.
Bernhard Pfaff
Johansen, S. (1988), Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control, 12, 231–254.
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, alrtest, ablrtest,
bh5lrtest, bh6lrtest, 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)
HD0 <- matrix(c(-1, 1, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 1), c(5,4))
summary(blrtest(sjd.vecm, H=HD0, r=1))