Hello Laura, you convert your VEC model to its levl-VAR representation and employ the diagnostic tests you mentioned. This can be accomplished with the functions/methods contained in the package 'vars'. You might want to have a look at the vignette of the latter package.
Best, Bernhard -----Ursprüngliche Nachricht----- Von: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] Im Auftrag von Laura Catalina Echeverri Guzmán Gesendet: Montag, 8. Oktober 2012 17:34 An: r-help@r-project.org Betreff: [R] Diagnostic testing in a VEC Hi everyone, I'm using the Johansen framework to determine a VEC using package urca. I have estimated the corresponding VEC using likelihood ratio test for restrictions on alpha, beta or both and I have generated objects of the class cajo.test. Now I want to diagnostic tests in the model, like heteroskedasticity test, residuals normality and serial autocorrelation, but I cannot find the way to do it in objects like the one I have. How can I do it? what packages/methods I may use? Do I have to transform this object in other object to do it easily? I would appreciate if someone could help me with this issue. Thank you! -- Laura Catalina Echeverri Guzmán [[alternative HTML version deleted]] ***************************************************************** 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.
