restrictions on cointegration relations - urca package

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restrictions on cointegration relations - urca package

mapirlo@libero.it
Hi R-programmers,

I found out urca package to deal with econometrics.

I detected a cointegration space of r=2. ok, fine.

but now :
how can I impose restrictions in first and second cointegration relation in
the same time and obtain new beta and alpha matrix ?

In the two following cointegrations with ca.jo :
W + 7.04 Y+ 32.24 U - 0.7 t = 0
W - 1.65 Y -1.65 U + 0.008 t = 0

I wish impose :
a null coeficient for Y in the first relation ( W + 0 * Y + beta12 * U +
beta13 * t)
coefficient of  Y =  coefficient of U in the second relation (W + betat22 * Y
+ beta22 * U + beta23 * t)

What is the restriction matrix ? which function do I use to solve it ?

thanks in advance,

Marco

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Re: restrictions on cointegration relations - urca package

Gautier RENAULT
Hi,

Apparently you aren't alone. I found the following message in archives.

Gautier

I am using package {urca} to do cointegration and estimate ECM model,
but I have the following two problems:

(1)    I use ca.jo() to do cointegration first and can get the
cointegration rank, alpha and beta.  The next step is to test some
restrictions on beta with blrtest(),bh5lrtest(), and bh6lrtest().  But
none of them can add restrictions on all the cointegration equations at
the same time if have more than one cointegration rank.  For example,
there are three cointegration in my case.  I want to add three different
restrictions on them at the same time.  What can I do?

(2)    What I want to do is to estimate ECM model with imposing
restriction on beta or on both alpha and beta at the same time.  It
looks like that command cajo.test() can do this estimation.  It shows up
in the package but there is no example there.  I tried to find some
examples but I cannot find any even if I have read  the book Analysis of
Integrated and Cointegrated Time Series with R.  Can you show me how to
use this command or some examples?

a   Thank you very much in advance.  Best wishes.

Christina


2010/4/14 [hidden email] <[hidden email]>

> Hi R-programmers,
>
> I found out urca package to deal with econometrics.
>
> I detected a cointegration space of r=2. ok, fine.
>
> but now :
> how can I impose restrictions in first and second cointegration relation in
> the same time and obtain new beta and alpha matrix ?
>
> In the two following cointegrations with ca.jo :
> W + 7.04 Y+ 32.24 U - 0.7 t = 0
> W - 1.65 Y -1.65 U + 0.008 t = 0
>
> I wish impose :
> a null coeficient for Y in the first relation ( W + 0 * Y + beta12 * U +
> beta13 * t)
> coefficient of  Y =  coefficient of U in the second relation (W + betat22 *
> Y
> + beta22 * U + beta23 * t)
>
> What is the restriction matrix ? which function do I use to solve it ?
>
> thanks in advance,
>
> Marco
>
> _______________________________________________
> [hidden email] mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>

        [[alternative HTML version deleted]]

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Re: restrictions on cointegration relations - urca package

Arun.stat
well, I am not very sure whether the package ucra has the capability to put any sort of restrictions on the parameters neither any other econometrics software has this. But definitely you can handle those issues if you can write some few pieces of R code and obviously well familiar with the underlying theory. I would recommend to read Lutkepohl(2006) to get some idea how to estimate the coefficients under the restricted parameters space. Right now I dont have the access on that material, otherwise perhaps I could help you in details

 :(

Best,