Thanks a lot! I have another question on "cointegration", so I will go on this post.
Is it possible to estimate a cointegration with some exogenous explanatory variables? Since, after testing for exogeneity, I would like to re-estimate the relation keeping some of the previous endogenous as exogenous. Many thanks! Carlo On Nov 21, 2005 11:21 AM, "Pfaff, Bernhard Dr." <[EMAIL PROTECTED]> wrote: > Dear R - helpers, > > I am using the urca package to estimate cointegration relations, and I > would be really grateful if somebody could help me with this > questions: > > After estimating the unrestriced VAR with "ca.jo" I would like to > impose > the rank restriction (for example rank = 1) and then obtain the > restricted estimate of PI to be utilized to estimate the VECM model. > > Is it possible? > > It seems to me that the function "cajools" estimates the VECM without > the restrictions. Did I miss something? How is it possible to impose > them? > > Thanks a lot in advance! > > Carlo > > > Hello Carlo, > > you can achieve this, by calculating your desired PI-matrix by hand, > given > the slots 'V' and 'W' of your ca.jo object and then execute a > restricted > OLS-estimation, if I understand your goal correctly. > Please, bear in mind the non-uniqueness of the factorization of the > PI-matrix by doing so. > > HTH, > Bernhard > > > ______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
