alrtest: Likelihood ratio test for restrictions on alpha

Description Usage Arguments Details Value Author(s) References See Also Examples

View source: R/alrtest.R

Description

This function estimates a restricted VAR, where the restrictions are base upon \bold{α}, i.e. the loading vectors. The test statistic is distributed as χ^2 with r(p-m) degrees of freedom, with m equal to the columns of the restricting matrix \bold{A}.

Usage

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alrtest(z, A, r)

Arguments

z

An object of class ca.jo.

A

The (p \times m) matrix containing the restrictions on \bold{α}.

r

The count of cointegration relationships;
inferred from summary(ca.jo-object).

Details

The orthogonal matrix to \bold{A} can be accessed as [email protected]. The restricted \bold{α} matrix is normalised with respect to the first variable.

Value

An object of class cajo.test.

Author(s)

Bernhard Pfaff

References

Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration – with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 2, 169–210.

Johansen, S. (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica, Vol. 59, No. 6, 1551–1580.

See Also

ca.jo, blrtest, ablrtest, cajo.test-class, ca.jo-class and urca-class.

Examples

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data(denmark)
sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
sjd.vecm <- ca.jo(sjd, ecdet = "const", type="eigen", K=2, spec="longrun",
season=4)
DA <- matrix(c(1,0,0,0), c(4,1))
summary(alrtest(sjd.vecm, A=DA, r=1))

Example output

###################### 
# Johansen-Procedure # 
###################### 

Estimation and testing under linear restrictions on beta 

The VECM has been estimated subject to: 
beta=H*phi and/or alpha=A*psi

     [,1]
[1,]    1
[2,]    0
[3,]    0
[4,]    0

Eigenvalues of restricted VAR (lambda):
[1] 0.3573 0.0000 0.0000 0.0000 0.0000

The value of the likelihood ratio test statistic:
6.66 distributed as chi square with 3 df.
The p-value of the test statistic is: 0.08 

Eigenvectors, normalised to first column
of the restricted VAR:

               [,1]
RK.LRM.l2    1.0000
RK.LRY.l2   -0.9585
RK.IBO.l2    4.7641
RK.IDE.l2   -2.5708
RK.constant -6.5825

Weights W of the restricted VAR:

        [,1]
[1,] -0.2543
[2,]  0.0000
[3,]  0.0000
[4,]  0.0000

urca documentation built on May 29, 2017, 3:27 p.m.

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