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

This function estimates a restricted VAR, where some restrictions are
placed on *r1* cointegrating relations which are chosen in the
space of the matrix H. The test statistic is distributed as
*χ^2* with *(p-s-r2)r1* degrees of freedom, with *s*
equal to the number of columns of *\bold{H}*, *r1* the number
of cointegrating relations in the first partition and *r2* the
number of cointegrating relations in the second partition which will
be estimated without any restrictions.

1 | ```
bh6lrtest(z, H, r, r1, conv.val = 0.0001, max.iter = 50)
``` |

`z` |
An object of class |

`H` |
The |

`r` |
The count of cointegrating relationships; |

`r1` |
The count of cointegrating relationships in the first
partition of the cointegration space; |

`conv.val` |
The convergence value of the algorithm. (see details); |

`max.iter` |
The maximal number of iterations. |

Please note, that the following ordering of the dimensions should be
obeyed: *r1 ≤q s ≤q p - r2*. A two-step algorithm is used to
determine the eigen values of the restricted model. Convergence is
achieved if the quadratic norm of the eigen values is smaller than
`conv.val`

.

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`

, `bh5lrtest`

, `cajo.test-class`

,
`ca.jo-class`

and `urca-class`

.

1 2 3 4 5 6 7 |

```
#####################################################
# Johansen-Procedure Unit Root / Cointegration Test #
#####################################################
The value of the test statistic is: 4.9312
```

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