cajo.test-class | R Documentation |

This class contains the relevant information by estimating and testing
a VAR under linear restrictions on *\bold{α}* and
*\bold{β}*.

`Z0`

:Object of class

`"matrix"`

: The matrix of the differenced series.`Z1`

:Object of class

`"matrix"`

: The regressor matrix, except for the lagged variables in levels.`ZK`

:Object of class

`"matrix"`

: The matrix of the lagged variables in levels.`ecdet`

:Object of class

`"character"`

: Specifies the deterministic term to be included in the cointegration relation. This can be either "none", "const", or "trend".`H`

:Object of class

`"ANY"`

: The matrix containing the restrictions placed upon*\bold{β}*.`A`

:Object of class

`"ANY"`

: The matrix containing the restrictions placed upon*\bold{α}*.`B`

:Object of class

`"ANY"`

: The matrix orthogonal to matrix*\bold{A}*.`type`

:Object of class

`"character"`

: The test type.`teststat`

:Object of class

`"numeric"`

: The value of the test statistic.`pval`

:Object of class

`"vector"`

: The p-value and the degrees of freedom.`lambda`

:Object of class

`"vector"`

: The eigenvalues of the restricted model.`Vorg`

:Object of class

`"matrix"`

: The matrix of eigenvectors, such that*\hat V_{…}'(H'S_{…}H)\hat V_{…} = I*.`V`

:Object of class

`"matrix"`

: The matrix of the restricted eigenvectors, normalised with respect to the first variable.`W`

:Object of class

`"matrix"`

: The matrix of the corresponding loading weights.`PI`

:Object of class

`"matrix"`

: The coefficient matrix of the lagged variables in levels.`DELTA`

:Object of class

`"ANY"`

: The variance/covarinace matrix of*\bold{V}*.`DELTA.bb`

:Object of class

`"ANY"`

: The variance/covarinace matrix of the marginal factor*\bold{B}'\bold{R}_{0t}*.`DELTA.ab`

:Object of class

`"ANY"`

: The variance/covarinace matrix of the conditional distribution of*\bold{A}'\bold{R}_{0t}*and*\bold{R}_{kt}*.`DELTA.aa.b`

:Object of class

`"ANY"`

: The variance/covarinace matrix of the restricted loading matrix.`GAMMA`

:Object of class

`"matrix"`

: The coefficient matrix of*\bold{Z1}*.`test.name`

:Object of class

`"character"`

: The name of the test,*i.e.*‘Johansen-Procedure’.

Class `urca`

, directly.

Type `showMethods(classes="cajo.test")`

at the R prompt for a
complete list of methods which are available for this class.

Useful methods include

`show`

:test-statistic.

`summary`

:like show, but p-value of test statistic, restricted eigenvectors, loading matrix and restriction matrices

*\bold{H}*and*\bold{A}*, where applicable, added.

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.

`ablrtest`

, `alrtest`

, `blrtest`

,
`ca.jo`

, `ca.jo-class`

and `urca-class`

.

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