Re: [R] Cointegration no constant

From: Pfaff, Bernhard Dr. <Bernhard_Pfaff_at_fra.invesco.com>
Date: Thu, 20 Mar 2008 10:43:59 +0000

>
>Hi,
>
>I am trying to estimate a VECM without constant using the
>following code:
>
>data(finland)
>sjf <- finland
>sjf.reg<-ca.jo(sjf, type = c("eigen"), ecdet = c("none"), K =
>2,spec=c("transitory"), season = NULL, dumvar = NULL)
>cajools(sjf.reg)
>
>
>While the cointegration test does not use a constant, it is
>used in the cajools which I do not want. I am sure I am doing
>something wrong - what should I change?

Hello Ralph,

are you really sure that you do want to include a constant in cajools? If so, this can be swiftly accomplished by:

sjf.reg_at_Z1 <- sjf.reg_at_Z1[, -1]
cajools(sjf.reg)

i.e., you drop the constant from the slot Z1 (have a look at cajools to see how the regression are set up). You might want consider using cajorls, too.

Best,
Bernhard

>
>Any help very much appreciated!
>
>Ralph
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