[R] Testing Restrictions on Beta (long-run coefficients), reproducible example

The code given below estimates a VEC model with 4 cointegrating vectors. It is a reproducible code, so just copy and paste into your R console (or script editor). nobs = 200 e = rmvnorm(n=nobs,sigma=diag(c(.5,.5,.5,.5,.5))) e1.ar1 = arima.sim(model=list(ar=.75),nobs,innov=e[,1]) e2.ar1 =

[R] Cumulative vs. non-cumulative IRFs in R

I am using irf function from vars package. I am trying to derive cumulative IRFs. The following code describes the case of deriving cumulative IRFs: irf(vecm.l, impulse = c(g,p,h,l,s), response = g, cumulative = TRUE,n.ahead = 20, ortho=TRUE) I got the output and plotted it, it looked like

[R] TVP-ECM modelling in R

Hello, I want to estimate a TVP-ECM model in R. Is there a specific package in R that can handle TVP-ECM models? Thank you -- View this message in context: http://r.789695.n4.nabble.com/TVP-ECM-modelling-in-R-tp4710874.html Sent from the R help mailing list archive at Nabble.com.

[R] cointegration and VECM, urca package and Eviews

Hello, I estimated a VECM in Eviews and R using urca package's ca.jo(), cajorl() and vec2var() functions. Specifications are 'no trend' in Eviews and 'none' in R (no theory, just testing, feel free to make changes). Results are different, ecm and cointegrating vectors are completely different.

[R] ca.jo function, urca package, singular matrix problem

Hi, I am trying to run a cointegration test with a dummy variable using `*ca.jo*` function in `*urca*` package. *johcoint=ca.jo(Ydata[10:60,1:5],type=trace,ecdet=c(const),K=2,spec=transitory,dumvar=dumvar) * `*dumvar*` is the binary variable that take 1 and 0 only. the first two observations