From: Pfaff, Bernhard Dr. <Bernhard_Pfaff_at_fra.invesco.com>

Date: Fri, 01 Apr 2011 09:21:52 +0100

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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Fri 01 Apr 2011 - 08:27:18 GMT

Date: Fri, 01 Apr 2011 09:21:52 +0100

Dear Renoir,

are you referring to:

http://econ.la.psu.edu/~hbierens/TVCOINT.PDF

?

If so, no, but you could up this framework fairly easily and hereby employ the functions of urca. But this should already be evident from the package's manual.

Best,

Bernhard

*> -----Ursprüngliche Nachricht-----
**> Von: renoir vieira [mailto:renoirvieira_at_gmail.com]
**> Gesendet: Donnerstag, 31. März 2011 22:27
**> An: Grzegorz Konat
*

> Cc: Pfaff, Bernhard Dr.; r-help@r-project.org

*> Betreff: Re: [R] VECM with UNRESTRICTED TREND
**>
**> Dear Pfaff,
**>
**> Would that be possible to fit a Time varying VECM using urca?
**>
**> Yours,
**> Renoir
**>
**> On Thursday, March 31, 2011, Grzegorz Konat
**> <grzegorz.konat_at_ibrkk.pl> wrote:
**> > The code you gave me works fine with Finland, but the same
**> for my data
**> > - does not!
**> > I do:
**> >
**> > library(urca)
**> > data(my.data)
**> > dat1 <- my.data[, c("dY", "X", "dM")]
**> > trend <- matrix(1:nrow(dat1), ncol = 1)
**> > colnames(trend) <- "trd"
**> > yxm.vecm <- ca.jo(dat1, type = "trace", ecdet = "const", K
**> = 2, spec =
**> > "longrun", dumvar = trend)
**> >
**> > and the result is again:
**> >
**> > Error in r[i1, , drop = FALSE] - r[-nrow(r):-(nrow(r) - lag
**> + 1L), ,
**> > drop = FALSE] :
**> > non-numeric argument to binary operator
**> >
**> > I attach my dataset in xls format. If you have 5 minutes
**> and wish to
**> > check it out, I'd be extremely grateful!
**> >
**> > Best,
**> > Greg
**> >
**> >
**> >
**> > 2011/3/31 Pfaff, Bernhard Dr. <Bernhard_Pfaff_at_fra.invesco.com>
**> >
**> >> Well, without further information, I do not know, but try the
**> >> following
**> >>
**> >> library(urca)
**> >> example(ca.jo)
**> >> trend <- matrix(1:nrow(sjf), ncol = 1)
**> >> colnames(trend) <- "trd"
**> >> ca.jo(sjf, type = "trace", ecdet = "const", K = 2, spec =
**> "longrun",
**> >> dumvar = trend)
**> >>
**> >> Best,
**> >> Bernhard
**> >>
**> >>
**> >>
**> >> ------------------------------
**> >> *Von:* Grzegorz Konat [mailto:grzegorz.konat_at_ibrkk.pl]
**> >> *Gesendet:* Donnerstag, 31. März 2011 14:40
**> >>
**> >> *An:* Pfaff, Bernhard Dr.; r-help_at_r-project.org
**> >> *Betreff:* Re: [R] VECM with UNRESTRICTED TREND
**> >>
**> >> 'time' was a trend variable from my.data set. Equivalent to the
**> >> output of the command 'matrix' you just gave me.
**> >>
**> >> So now I did:
**> >>
**> >> library(urca)
**> >> data(my.data)
**> >> names(my.data)
**> >> attach(my.data)
**> >> dat1 <- my.data[, c("dY", "X", "dM")]
**> >> mat1 <- matrix(seq(1:nrow(dat1)), ncol = 1)
**> >> args('ca.jo')
**> >> yxm.vecm <- ca.jo(dat1, type = "trace", ecdet = "const", K
**> = 2, spec
**> >> = "longrun", dumvar=mat1)
**> >>
**> >> and the output is:
**> >>
**> >> Error in r[i1, , drop = FALSE] - r[-nrow(r):-(nrow(r) -
**> lag + 1L), ,
**> >> drop = FALSE] :
**> >> non-numeric argument to binary operator In addition: Warning
**> >> message:
**> >> In ca.jo(dat1, type = "trace", ecdet = "const", K = 2, spec =
**> >> "longrun",
**> >> :
**> >> No column names in 'dumvar', using prefix 'exo' instead.
**> >>
**> >> What do I do wrong?
**> >>
**> >> Best,
**> >> Greg
**> >>
**> >>
**> >> 2011/3/31 Pfaff, Bernhard Dr. <Bernhard_Pfaff_at_fra.invesco.com>
**> >>
**> >>>
**> >>>
**> >>>
**> >>> Hello Bernhard,
**> >>>
**> >>> thank You so much one again! Now I (more or less) understand the
**> >>> idea, but still have problem with its practical application.
**> >>>
**> >>> I do (somewhat following example 8.1 in your textbook):
**> >>>
**> >>> library(urca)
**> >>> data(my.data)
**> >>> names(my.data)
**> >>> attach(my.data)
**> >>> dat1 <- my.data[, c("dY", "X", "dM")]
**> >>> dat2 <- cbind(time)
**> >>>
**> >>> What is 'time'? Just employ matrix(seq(1:nrow(dat1)),
**> ncol = 1) for
**> >>> creating the trend variable.
**> >>>
**> >>> Best,
**> >>> Bernhard
**> >>>
**> >>>
**> >>> args('ca.jo')
**> >>> yxm.vecm <- ca.jo(dat1, type = "trace", ecdet = "trend",
**> K = 2, spec
**> >>> = "longrun", dumvar=dat2)
**> >>>
**> >>> The above code produces following output:
**> >>>
**> >>> Error in r[i1, , drop = FALSE] - r[-nrow(r):-(nrow(r) -
**> lag + 1L),
**> >>> , drop = FALSE] :
**> >>> non-numeric argument to binary operator
**> >>>
**> >>> What does that mean? Should I use cbind command to dat1
**> as well? And
**> >>> doesn't it transform the series into series of integer numbers?
**> >>>
**> >>> Thank you once again (especially for your patience).
**> >>>
**> >>> Best,
**> >>> Greg
**> >>>
**> >>>
**> >>>
**> >>> 2011/3/31 Pfaff, Bernhard Dr. <Bernhard_Pfaff_at_fra.invesco.com>
**> >>>
**> >>>> 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 while you are referring to case 5, this
**> is basically
**> >>>> what you are after, if I am not mistaken. But we aware that this
**> >>>> implies a quadratic trend for the levels
**>
*

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