Re: [R] question of VECM restricted regression

From: Pfaff, Bernhard Dr. <Bernhard_Pfaff_at_fra.invesco.com>
Date: Mon, 02 May 2011 10:01:17 +0100

Hello Meilan:

'ect' is shorthand for error-correction-term, 'sd' signify seasonal dummy variables and 'LRM.dl1' is the lagged first difference of the variable 'LRM' (the log of real money demand).

HTH,
Bernhard

> -----Ursprüngliche Nachricht-----
> Von: r-help-bounces_at_r-project.org
> [mailto:r-help-bounces_at_r-project.org] Im Auftrag von Meilan Yan
> Gesendet: Freitag, 29. April 2011 11:10
> An: bernhard.pfaff_at_pfaffikus.de; r-help_at_r-project.org
> Betreff: [R] question of VECM restricted regression
>
> Dear Colleague
>
> I am trying to figure out how to use R to do OLS restricted
> VECM regression. However, there are some notation I cannot understand.
>
> Please tell me what is 'ect', 'sd' and 'LRM.dl1 in the
> following practice:
>
> #OLS retricted VECM regression
> data(denmark)
> sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
> sjd.vecm<- ca.jo(sjd, ecdet = "const", type="eigen", K=2,
> spec="longrun",
> season=4)
> sjd.vecm.rls<-cajorls(sjd.vecm,r=1)
> summary(sjd.vecm.rls$rlm)
> sjd.vecm.rls$beta
>
> Response LRM.d :
> Call:
> lm(formula = substitute(LRM.d), data = data.mat)
>
> Residuals:
> Min 1Q Median 3Q Max
> -0.027598 -0.012836 -0.003395 0.015523 0.056034
>
> Coefficients:
> Estimate Std. Error t value Pr(>|t|)
> ect1 -0.212955 0.064354 -3.309 0.00185 **
> sd1 -0.057653 0.010269 -5.614 1.16e-06 ***
> sd2 -0.016305 0.009177 -1.777 0.08238 .
> sd3 -0.040859 0.008767 -4.660 2.82e-05 ***
> LRM.dl1 0.049816 0.191992 0.259 0.79646
> LRY.dl1 0.075717 0.157902 0.480 0.63389
> IBO.dl1 -1.148954 0.372745 -3.082 0.00350 **
> IDE.dl1 0.227094 0.546271 0.416 0.67959
>
> > sjd.vecm.rls$beta
> ect1
> LRM.l2 1.000000
> LRY.l2 -1.032949
> IBO.l2 5.206919
> IDE.l2 -4.215879
>
>
> Many thanks
> Meilan
>
>
>
>
>
> [[alternative HTML version deleted]]
>
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