Re: [R] VECM with UNRESTRICTED TREND

From: Pfaff, Bernhard Dr. <Bernhard_Pfaff_at_fra.invesco.com>
Date: Wed, 30 Mar 2011 16:49:58 +0100

Hello Greg,

you can exploit the argument 'dumvar' for this. See ?ca.jo

Best,
Bernhard

> -----Ursprüngliche Nachricht-----
> Von: r-help-bounces_at_r-project.org
> [mailto:r-help-bounces_at_r-project.org] Im Auftrag von Grzegorz Konat
> Gesendet: Mittwoch, 30. März 2011 16:46
> An: r-help_at_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"/"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
>
> [[alternative HTML version deleted]]
>
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