urca: cajorls – R documentation

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cajorls

OLS regression of VECM

Description

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.

Usage

cajorls(z, r = 1, reg.number = NULL)

Arguments

`z`	An object of class `ca.jo` or `cajo.test`.
`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 `NULL` (the default), all equations within the VECM are estimated.

Details

The cointegration space is normalised as \bold{β}_c = \bold{β}(S'\bold{β})^{-1}, with S' = (I_r, 0).

Value

Returns a list object with elements of class lm for the restricted VECM and a matrix object with the normalised cointegrating vectors.

Author(s)

Bernhard Pfaff

References

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.

Examples

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

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