I am trying to run a conintegration analysis. I am a former user of S-Plus and understand the output of the coint and VECM output, but I am having trouble understanding the equivalent output in R.

Here is what I ran

> coint=ca.jo(data,constant=T,K=2,spec="longrun")

> summary(coint)

The first portion of the output that I did not understand

[,1] [,2] [,3]

y1 1.000000 1.000000 1.000000

y2 -1.114734 -2.461872 -2.216456

constant 1.364641 7.473149 7.331977

>From this i think that y1 - 1.143*y2 + 1.36 ~ I(0)

What i don't understand is where columns [,2] and [,3] come into play. Now i run the following:

> cajools(coint)

Call:

lm(formula = z@Z0 ~ z@Z1 + z@ZK - 1)

Coefficients:

[,1] [,2]

z@Z11 0.028114 0.065968

z@Z12 0.371630 0.183797

z@ZKy1 -0.011724 -0.002647

z@ZKy2 0.012282 0.001827

z@ZK -0.012430 0.001482

My understanding is that the specification of the VECM was as follows (with K=2):

deltay1 = c1 + a1*(y1_t-1-b2*y2_t-1)+ phi11*lag(deltay1_t-1) + phi12*deltay2_t-1+e1

deltay2 = c2 + a2*(y1_t-1-b2*y2_t-1)+ phi21*lag(deltay1_t-1) + phi22*deltay2_t-1+e2

My guess is that Z11 and Z12 correspond to the above phis. That c1 and c1 correspond to ZK. That b2 is -1.11 from the step before? The rest, ZKy1 and ZKy2 I can't place. Please help,

Alex

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