Hello Bernhard,
thank You so much one again! Now I (more or less) understand the idea,
but still have problem with its practical application.
I do (somewhat following example 8.1 in your textbook):
library(urca)
data(my.data)
names(my.data)
attach(my.data)
dat1 <- my.data[, c("dY", "X", "dM")]
dat2 <- cbind(time)
What is 'time'? Just employ matrix(seq(1:nrow(dat1)), ncol = 1) for
creating the trend variable.
Best,
Bernhard
args('ca.jo')
yxm.vecm <- ca.jo(dat1, type = "trace", ecdet = "trend", K = 2, spec =
"longrun", dumvar=dat2)
The above code produces following output:
Error in r[i1, , drop = FALSE] - r[-nrow(r):-(nrow(r) - lag + 1L), ,
drop = FALSE] :
non-numeric argument to binary operator
What does that mean? Should I use cbind command to dat1 as well? And
doesn't it transform the series into series of integer numbers?
Thank you once again (especially for your patience).
Best,
Greg
2011/3/31 Pfaff, Bernhard Dr. <[email protected]>
Hello Greg,
you include your trend as a (Nx1) matrix and use this for
'dumvar'. The matrix 'dumvar' is just added to the VECM as deterministic
regressors and while you are referring to case 5, this is basically what you
are after, if I am not mistaken. But we aware that this implies a quadratic
trend for the levels.
Best,
Bernhard
________________________________
Von: Grzegorz Konat [mailto:[email protected]]
Gesendet: Mittwoch, 30. März 2011 20:50
An: Pfaff, Bernhard Dr.; [email protected]
Betreff: Re: [R] VECM with UNRESTRICTED TREND
Hello Bernhard,
Thank You very much. Unfortunately I'm still not really
sure how should I use dummy vars in this context...
If I have a system of three variables (x, y, z), lag
order = 2 and 1 cointegrating relation, what should I do? I mean, what kind of
'pattern' should be used to create those dummy variables, what should they
represent and how many of them do I need?
Many thanks in advance!
Best,
Greg
2011/3/30 Pfaff, Bernhard Dr.
<[email protected]>
Hello Greg,
you can exploit the argument 'dumvar' for this.
See ?ca.jo
Best,
Bernhard
> -----Ursprüngliche Nachricht-----
> Von: [email protected]
> [mailto:[email protected]] Im
Auftrag von Grzegorz Konat
> Gesendet: Mittwoch, 30. März 2011 16:46
> An: [email protected]
> Betreff: [R] VECM with UNRESTRICTED TREND
>
> Dear All,
>
> My question is:
>
> how can I estimate VECM system with
"unrestricted trend" (aka
> "case 5") option as a deterministic term?
>
> As far as I know, ca.jo in urca package
allows for "restricted trend"
> only [vecm
> <- ca.jo(data, type = "trace"/"eigen", ecdet
= "trend", K =
> n, spec = "transitory"/"longrun")].
> Obviously, I don't have to do this in urca,
so if another
> package gives the possibility, please let me
know too!
>
> Thanks in advance!
>
> Greg
>
> [[alternative HTML version deleted]]
>
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self-contained, reproducible code.
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