cajools {urca}R Documentation

OLS regression of VECM

Description

This function returns the OLS regressions of an unrestricted VECM, i.e. it returns an object of class lm. The user can provide a certain number of which equation in the VECM should be estimated and reported, or if "reg.number=NULL" each equation in the VECM will be estimated and its results are reported.

Usage

cajools(z, reg.number = NULL)

Arguments

z

An object of class ca.jo or cajo.test.

reg.number

The number of the equation in the VECM that should be estimated or if set to NULL (the default), all equations within the VECM are estimated.

Value

Returns an object of class lm.

Author(s)

Bernhard Pfaff

References

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.

See Also

ca.jo, cajorls, lm, ca.jo-class and urca-class.

Examples

data(denmark)
sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
sjd.vecm1 <- ca.jo(sjd, ecdet = "const", type="eigen", K=2, spec="longrun",
season=4)
sjd.vecm2 <- ca.jo(sjd, ecdet = "const", type="eigen", K=2, spec="transitory",
season=4)
sjd.vecm.ols1 <- cajools(sjd.vecm1)
sjd.vecm.ols2 <- cajools(sjd.vecm2)
summary(sjd.vecm.ols1)
summary(sjd.vecm.ols2)
[Package urca version 1.2-7 Index]