alrtest | R Documentation |

This function estimates a restricted VAR, where the restrictions are
base upon `\bold{\alpha}`

, *i.e.* the loading vectors. The test
statistic is distributed as `\chi^2`

with `r(p-m)`

degrees of
freedom, with `m`

equal to the columns of the restricting matrix
`\bold{A}`

.

```
alrtest(z, A, r)
```

`z` |
An object of class |

`A` |
The |

`r` |
The count of cointegration relationships; |

The orthogonal matrix to `\bold{A}`

can be accessed as
`object@B`

. The restricted `\bold{\alpha}`

matrix is
normalised with respect to the first variable.

An object of class `cajo.test`

.

Bernhard Pfaff

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.

`ca.jo`

, `blrtest`

, `ablrtest`

,
`cajo.test-class`

, `ca.jo-class`

and
`urca-class`

.

```
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))
```

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