Likelihood ratio test for restrictions under partly known beta
This function estimates a restricted VAR, where some of the cointegration vectors are known. The known cointegration relationships have to be provided in an p x r1 matrix \bold{H}. The test statistic is distributed as χ^2 with (p-r)r1 degrees of freedom, with r equal to total number of cointegration relations.
bh5lrtest(z, H, r)
z |
An object of class |
H |
The (p \times r1) matrix containing the known cointegration relations. |
r |
The count of cointegrating relationships; |
Please note, that the number of columns of \bold{H} must be smaller than the count of cointegration relations r.
An object of class cajo.test.
Bernhard Pfaff
Johansen, S. (1995), Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, Oxford.
Johansen, S. and Juselius, K. (1992), Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK, Journal of Econometrics, 53, 211–244.
ca.jo, alrtest, ablrtest,
blrtest, bh6lrtest, cajo.test-class,
ca.jo-class and urca-class.
data(UKpppuip) attach(UKpppuip) dat1 <- cbind(p1, p2, e12, i1, i2) dat2 <- cbind(doilp0, doilp1) H1 <- ca.jo(dat1, type='trace', K=2, season=4, dumvar=dat2) H51 <- c(1, -1, -1, 0, 0) H52 <- c(0, 0, 0, 1, -1) summary(bh5lrtest(H1, H=H51, r=2)) summary(bh5lrtest(H1, H=H52, r=2))
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