bh5lrtest | R Documentation |

This function estimates a restricted VAR, where some of the
cointegration vectors are known. The known cointegration relationships
have to be provided in an *p x r1* matrix *\bold{H}*. The test
statistic is distributed as *χ^2* with *(p-r)r1* degrees of
freedom, with *r* equal to total number of cointegration relations.

bh5lrtest(z, H, r)

`z` |
An object of class |

`H` |
The |

`r` |
The count of cointegrating relationships; |

Please note, that the number of columns of *\bold{H}* must be
smaller than the count of cointegration relations *r*.

An object of class `cajo.test`

.

Bernhard Pfaff

Johansen, S. (1995), *Likelihood-Based Inference in Cointegrated Vector
Autoregressive Models*, Oxford University Press, Oxford.

Johansen, S. and Juselius, K. (1992), Testing structural hypotheses in a
multivariate cointegration analysis of the PPP and the UIP for UK,
*Journal of Econometrics*, **53**, 211–244.

`ca.jo`

, `alrtest`

, `ablrtest`

,
`blrtest`

, `bh6lrtest`

, `cajo.test-class`

,
`ca.jo-class`

and `urca-class`

.

data(UKpppuip) attach(UKpppuip) dat1 <- cbind(p1, p2, e12, i1, i2) dat2 <- cbind(doilp0, doilp1) H1 <- ca.jo(dat1, type='trace', K=2, season=4, dumvar=dat2) H51 <- c(1, -1, -1, 0, 0) H52 <- c(0, 0, 0, 1, -1) summary(bh5lrtest(H1, H=H51, r=2)) summary(bh5lrtest(H1, H=H52, r=2))

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