Hello Dennis, have you considered the function bh6lrtest() in the package urca? To my knowledge, there is no other package available that offers VECM functionalities.
Best, Bernhard ps: As you migth be interested in VAR and SVAR too: I am currently working on such a package which should be submitted to CRAN after summer. Dr. Bernhard Pfaff Global Structured Products Group (Europe) Invesco Asset Management Deutschland GmbH Bleichstrasse 60-62 D-60313 Frankfurt am Main Tel: +49(0)69 29807 230 Fax: +49(0)69 29807 178 Email: [EMAIL PROTECTED] >-----Ursprüngliche Nachricht----- >Von: [EMAIL PROTECTED] >[mailto:[EMAIL PROTECTED] Im Auftrag von >Dennis Heidemann >Gesendet: Donnerstag, 29. Juni 2006 21:20 >An: [email protected] >Betreff: [R] Cointegration Test in R > >Hello! > >I'm using the blrtest() function in the urca package >to test cointegration relationships. >Unfortunately, the hypothesis (restrictions on beta) >specifies the same restriction on all cointegration vectors. >Is there any possibility to specify different restrictions on >the cointegration vectors? >Are there any other packages in R using cointegration tests? > >Thanks and best regards. >Dennis Heidemann > [[alternative HTML version deleted]] > >______________________________________________ >[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 > ***************************************************************** Confidentiality Note: The information contained in this mess...{{dropped}} ______________________________________________ [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
