cajorls | R Documentation |

This function returns the OLS regressions of a restricted VECM,
*i.e.* it returns a list object with elements of class ‘lm’
containing the restricted VECM and a matrix object with the normalised
cointegrating relationships. The user can provide a certain number of
which equation in the VECM should be estimated and reported, or if
`"reg.number = NULL"`

each equation in the VECM will be estimated
and its results are reported. Furthermore, the cointegratioon rank has
to be supplied too.

cajorls(z, r = 1, reg.number = NULL)

`z` |
An object of class |

`r` |
An integer, signifiying the cointegration rank. |

`reg.number` |
The number of the equation in the VECM that should
be estimated or if set to |

The cointegration space is normalised as *\bold{β}_c =
\bold{β}(S'\bold{β})^{-1}*, with *S' = (I_r, 0)*.

Returns a list object with elements of class `lm`

for the
restricted VECM and a matrix object with the normalised cointegrating
vectors.

Bernhard Pfaff

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

Lütkepohl, H. (2006), *New Introduction to Multiple Time Series
Analysis*, Springer, New York.

`ca.jo`

, `cajools`

, `lm`

,
`ca.jo-class`

and `urca-class`

.

data(finland) sjf <- finland sjf.vecm <- ca.jo(sjf, ecdet = "none", type = "eigen", K = 2, spec = "longrun", season = 4) sjf.vecm.rls <- cajorls(sjf.vecm, r = 2) summary(sjf.vecm.rls$rlm) sjf.vecm.rls$beta

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