plotres: Graphical inspection of VECM residuals

In urca: Unit Root and Cointegration Tests for Time Series Data

Graphical inspection of VECM residuals

Description

The function plotres should be used for graphical inspection of the VAR residuals, i.e. the estimated specification as elaborated in the ‘Details’ section of ca.jo. It displays the residuals for each equation within a VAR and their acf's and pacf's.

Usage

plotres(x)

Arguments

x	Object of class ‘ca.jo’.

Author(s)

Bernhard Pfaff

References

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.

See Also

ca.jo and ca.jo-class.

Examples

data(denmark)
sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
sjd.vecm <- ca.jo(sjd, ecdet="const", type="eigen", K=2, spec="longrun",
season=4)
plotres(sjd.vecm)

urca documentation built on May 29, 2024, 5:36 a.m.