[R] VECM with UNRESTRICTED TREND

From: Grzegorz Konat <grzegorz.konat_at_ibrkk.pl>
Date: Wed, 30 Mar 2011 16:46:11 +0200


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"/"longrun")].
Obviously, I don't have to do this in urca, so if another package gives the possibility, please let me know too!

Thanks in advance!

Greg

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