blrtest | R Documentation |

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

blrtest(z, H, r)

`z` |
An object of class |

`H` |
The |

`r` |
The count of cointegrating relationships; |

Please note, that in the case of nested hypothesis, the reported
p-value should be adjusted to *r(s1-s2)* (see Johansen, S. and
K. Juselius (1990)).

An object of class `cajo.test`

.

Bernhard Pfaff

Johansen, S. (1988), Statistical Analysis of Cointegration Vectors,
*Journal of Economic Dynamics and Control*, **12**, 231–254.

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`

, `alrtest`

, `ablrtest`

,
`bh5lrtest`

, `bh6lrtest`

, `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) HD0 <- matrix(c(-1, 1, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 1), c(5,4)) summary(blrtest(sjd.vecm, H=HD0, r=1))

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