Hello Meilan: 'ect' is shorthand for error-correction-term, 'sd' signify seasonal dummy variables and 'LRM.dl1' is the lagged first difference of the variable 'LRM' (the log of real money demand).
HTH, Bernhard > -----Ursprüngliche Nachricht----- > Von: r-help-boun...@r-project.org > [mailto:r-help-boun...@r-project.org] Im Auftrag von Meilan Yan > Gesendet: Freitag, 29. April 2011 11:10 > An: bernhard.pf...@pfaffikus.de; r-help@r-project.org > Betreff: [R] question of VECM restricted regression > > Dear Colleague > > I am trying to figure out how to use R to do OLS restricted > VECM regression. However, there are some notation I cannot understand. > > Please tell me what is 'ect', 'sd' and 'LRM.dl1 in the > following practice: > > #OLS retricted VECM regression > data(denmark) > sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")] > sjd.vecm<- ca.jo(sjd, ecdet = "const", type="eigen", K=2, > spec="longrun", > season=4) > sjd.vecm.rls<-cajorls(sjd.vecm,r=1) > summary(sjd.vecm.rls$rlm) > sjd.vecm.rls$beta > > Response LRM.d : > Call: > lm(formula = substitute(LRM.d), data = data.mat) > > Residuals: > Min 1Q Median 3Q Max > -0.027598 -0.012836 -0.003395 0.015523 0.056034 > > Coefficients: > Estimate Std. Error t value Pr(>|t|) > ect1 -0.212955 0.064354 -3.309 0.00185 ** > sd1 -0.057653 0.010269 -5.614 1.16e-06 *** > sd2 -0.016305 0.009177 -1.777 0.08238 . > sd3 -0.040859 0.008767 -4.660 2.82e-05 *** > LRM.dl1 0.049816 0.191992 0.259 0.79646 > LRY.dl1 0.075717 0.157902 0.480 0.63389 > IBO.dl1 -1.148954 0.372745 -3.082 0.00350 ** > IDE.dl1 0.227094 0.546271 0.416 0.67959 > > > sjd.vecm.rls$beta > ect1 > LRM.l2 1.000000 > LRY.l2 -1.032949 > IBO.l2 5.206919 > IDE.l2 -4.215879 > > > Many thanks > Meilan > > > > > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ***************************************************************** Confidentiality Note: The information contained in this ...{{dropped:10}} ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
