urca: alphaols – R documentation

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alphaols

OLS regression of VECM weighting matrix

Description

This functions estimates the \bold{α} matrix of a VECM. The following OLS regression of the R-form of the VECM is hereby utilised:

\bold{R}_{0t} = \bold{α}\bold{β}\prime \bold{R}_{kt} + \bold{\varepsilon}_t \qquad t=1, …, T

Usage

alphaols(z, reg.number = NULL)

Arguments

`z`	An object of class `ca.jo`.
`reg.number`	The number of the equation in the R-form that should be estimated or if set to `NULL` (the default), all equations within the R-form are estimated.

Details

The cointegrating relations, i.e. \bold{R}_{kt}\prime \bold{β} are calculated by using z@RK and z@V.

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.

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)
summary(alphaols(sjd.vecm1))
summary(alphaols(sjd.vecm1, reg.number=1))

urca

Unit Root and Cointegration Tests for Time Series Data

v1.3-0

GPL (>= 2)

Authors

Bernhard Pfaff [aut, cre], Eric Zivot [ctb], Matthieu Stigler [ctb]

Initial release

2016-09-06