From: Chilton, Alexander B [MSD] <alexander.b.chilton_at_citigroup.com>

Date: Wed 21 Dec 2005 - 09:30:50 EST

constant 1.364641 7.473149 7.331977

R-help@stat.math.ethz.ch mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Wed Dec 21 09:58:45 2005

Date: Wed 21 Dec 2005 - 09:30:50 EST

I am trying to run a conintegration analysis. I am a former user of S-Plus and understand the output of the coint and VECM output, but I am having trouble understanding the equivalent output in R.

Here is what I ran

*> coint=ca.jo(data,constant=T,K=2,spec="longrun")
**> summary(coint)
*

The first portion of the output that I did not understand

[,1] [,2] [,3] y1 1.000000 1.000000 1.000000 y2 -1.114734 -2.461872 -2.216456

constant 1.364641 7.473149 7.331977

*>From this i think that y1 - 1.143*y2 + 1.36 ~ I(0)
*

What i don't understand is where columns [,2] and [,3] come into play. Now i run the following:

*> cajools(coint)
*

Call:

lm(formula = z@Z0 ~ z@Z1 + z@ZK - 1)

Coefficients:

[,1] [,2] z@Z11 0.028114 0.065968 z@Z12 0.371630 0.183797 z@ZKy1 -0.011724 -0.002647 z@ZKy2 0.012282 0.001827 z@ZK -0.012430 0.001482

My understanding is that the specification of the VECM was as follows (with K=2):

deltay1 = c1 + a1*(y1_t-1-b2*y2_t-1)+ phi11*lag(deltay1_t-1) + phi12*deltay2_t-1+e1

deltay2 = c2 + a2*(y1_t-1-b2*y2_t-1)+ phi21*lag(deltay1_t-1) + phi22*deltay2_t-1+e2

My guess is that Z11 and Z12 correspond to the above phis. That c1 and c1 correspond to ZK. That b2 is -1.11 from the step before? The rest, ZKy1 and ZKy2 I can't place. Please help,

Alex

R-help@stat.math.ethz.ch mailing list

https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Wed Dec 21 09:58:45 2005

*
This archive was generated by hypermail 2.1.8
: Wed 21 Dec 2005 - 14:30:12 EST
*