| cajorls {urca} | R Documentation |
This function returns the OLS regressions of a restricted VECM,
i.e. it returns a list object with elements of class ‘lm’
containing the restricted VECM and a matrix object with the normalised
cointegrating relationships. 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. Furthermore, the cointegratioon rank has
to be supplied too.
cajorls(z, r = 1, reg.number = NULL)
z |
An object of class |
r |
An integer, signifiying the cointegration rank. |
reg.number |
The number of the equation in the VECM that should
be estimated or if set to |
The cointegration space is normalised as \bold{β}_c = \bold{β}(S'\bold{β})^{-1}, with S' = (I_r, 0).
Returns a list object with elements of class lm for the
restricted VECM and a matrix object with the normalised cointegrating
vectors.
Bernhard Pfaff
Johansen, S. (1995), Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, Oxford.
Lütkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.
ca.jo, cajools, lm,
ca.jo-class and urca-class.
data(finland) sjf <- finland sjf.vecm <- ca.jo(sjf, ecdet = "none", type = "eigen", K = 2, spec = "longrun", season = 4) sjf.vecm.rls <- cajorls(sjf.vecm, r = 2) summary(sjf.vecm.rls$rlm) sjf.vecm.rls$beta