Re: [R] cointegration rank
Another question on cointegration... Is it possible to insert in the model dummy variables restricted in the cointegration space? Many thanks, 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 __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
Re: [R] cointegration rank
Hello Carlo, no, this is not possible, per se. In case of a structural break in terms of a one-time level shift, you might want to consider the function cajolst(). Another possibility would be to run a regression with the dummy-variables and use the fitted values for your data matrix x. That is, the data is 'pre-filtered' by the impact of the dummy variables. HTH, Bernhard Another question on cointegration... Is it possible to insert in the model dummy variables restricted in the cointegration space? Many thanks, 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 __ R-help@stat.math.ethz.ch 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 message, and any attachments, may contain confidential and/or privileged material. It is intended solely for the person(s) or entity to which it is addressed. Any review, retransmission, dissemination, or taking of any action in reliance upon this information by persons or entities other than the intended recipient(s) is prohibited. If you received this in error, please contact the sender and delete the material from any computer. * __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
Re: [R] cointegration rank
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 __ R-help@stat.math.ethz.ch 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 message, and any attachments, may contain confidential and/or privileged material. It is intended solely for the person(s) or entity to which it is addressed. Any review, retransmission, dissemination, or taking of any action in reliance upon this information by persons or entities other than the intended recipient(s) is prohibited. If you received this in error, please contact the sender and delete the material from any computer. * __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
Re: [R] cointegration rank
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 __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
Re: [R] cointegration rank
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 __ R-help@stat.math.ethz.ch 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 message, and any attachments, may contain confidential and/or privileged material. It is intended solely for the person(s) or entity to which it is addressed. Any review, retransmission, dissemination, or taking of any action in reliance upon this information by persons or entities other than the intended recipient(s) is prohibited. If you received this in error, please contact the sender and delete the material from any computer. * __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
Re: [R] cointegration rank
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 __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
[R] cointegration rank
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 __ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
