Hello!
I estimate vector error correction model (vecm) model. I have only one
cointegratio relationship. I write :
joh.vecm.rls <- cajorls(joh.vecm, r=1)
The output estimation is :
Call:
lm(formula = substitute(form1), data = data.mat)
Coefficients:
up.d expl.d upd.d r.d
ect1 -1.34e-01 4.55e+02 6.91e+00 2.43e+03
constant -4.90e+01 1.82e+05 2.46e+03 9.54e+05
up.dl1 6.68e-01 2.07e+03 3.49e+01 2.51e+03
expl.dl1 1.72e-04 -1.87e-01 9.22e-03 1.34e-01
upd.dl1 -2.48e-03 8.15e+00 4.36e-01 2.29e+01
r.dl1 2.70e-05 -6.75e-02 -1.95e-03 -7.64e-01
up.dl2 -4.32e-01 1.10e+03 5.14e+00 -2.45e+03
expl.dl2 6.01e-05 -1.24e-01 -9.52e-03 -6.65e-01
upd.dl2 -2.88e-03 9.40e+00 2.31e-01 1.74e+01
r.dl2 5.56e-05 -1.46e-01 -1.03e-03 -5.47e-01
$beta
ect1
up.l3 1.0000000
expl.l3 -0.0002939
upd.l3 -0.0004689
r.l3 -0.0002649
trend.l3 8.5983895
I have two questions :
Can I say that my cointegration relationship is not valide because the "ect1"
term is not of negative sign for expl.d, upd.d and r.d ?
How can I exract the t-sudent of all the coefficients ?
any help will be appreciated.
Thank you in advance.
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