ames(trend) <- "trd"
> ca.jo(sjf, type = "trace", ecdet = "const", K = 2, spec = "longrun",
> dumvar = trend)
>
> Best,
> Bernhard
>
>
>
> --
> *Von:* Grzegorz Konat [mailto:grzegorz.ko...@ibrkk.pl
> Best,
> Greg
>
>
>
> 2011/3/31 Pfaff, Bernhard Dr.
>
>> 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
>> w
after, if
> I am not mistaken. But we aware that this implies a quadratic trend for the
> levels.
>
> Best,
> Bernhard
>
> --
> *Von:* Grzegorz Konat [mailto:grzegorz.ko...@ibrkk.pl]
> *Gesendet:* Mittwoch, 30. März 2011 20:50
> *An:* Pfaff, Bernhard
t; -Ursprüngliche Nachricht-
> > Von: r-help-boun...@r-project.org
> > [mailto:r-help-boun...@r-project.org] Im Auftrag von Grzegorz Konat
> > Gesendet: Mittwoch, 30. März 2011 16:46
> > An: r-help@r-project.org
> > 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"/"l
5 matches
Mail list logo
