Thanks a million! Carlo
On Nov 21, 2005 01:23 PM, "Pfaff, Bernhard Dr." <[EMAIL PROTECTED]> wrote: > 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 > > > Hello Carlo, > > you can use the 'dumvar' argument for his purpose, and exclude the > relevant > variables from your data matrix 'x'. > > HTH, > Bernhard > > > 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
