Graphical inspection of VECM residuals
The function plotres should be used for graphical inspection
of the VAR residuals, i.e. the estimated specification as
elaborated in the ‘Details’ section of ca.jo. It displays the
residuals for each equation within a VAR and their acf's and pacf's.
plotres(x)
x |
Object of class ‘ca.jo’. |
Bernhard Pfaff
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.
ca.jo and ca.jo-class.
data(denmark)
sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
sjd.vecm <- ca.jo(sjd, ecdet="const", type="eigen", K=2, spec="longrun",
season=4)
plotres(sjd.vecm)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.