R/blrtest.R

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

##
## blrtest
##
blrtest <- function(z, H, r){
  if(!inherits(z, "ca.jo")){
    stop("\nPlease, provide object of class 'ca.jo' as 'z'.\n")
  }
  if(r >= z@P || r < 1){
    stop("\nCount of cointegrating relationships is out of allowable range.\n")
  }
  if(z@ecdet == "none"){
    P <- z@P
  }else{
    P <- z@P + 1
  }
  r <- as.integer(r)
  H <- as.matrix(H)
  if(!(nrow(H)==P)){
    stop("\nRow number of 'H' is unequal to VAR order.\n")
  }
  type <- "Estimation and testing under linear restrictions on beta"
  N <- nrow(z@Z0)
  M00 <- crossprod(z@Z0)/N
  M11 <- crossprod(z@Z1)/N
  MKK <- crossprod(z@ZK)/N
  M01 <- crossprod(z@Z0, z@Z1)/N
  M0K <- crossprod(z@Z0, z@ZK)/N
  MK0 <- crossprod(z@ZK, z@Z0)/N
  M10 <- crossprod(z@Z1, z@Z0)/N
  M1K <- crossprod(z@Z1, z@ZK)/N
  MK1 <- crossprod(z@ZK, z@Z1)/N
  M11inv <- solve(M11)
  S00 <- M00 - M01%*%M11inv%*%M10
  S0K <- M0K - M01%*%M11inv%*%M1K
  SK0 <- MK0 - MK1%*%M11inv%*%M10
  SKK <- MKK - MK1%*%M11inv%*%M1K
  Ctemp <- chol(t(H)%*%SKK%*%H, pivot=TRUE)
  pivot <- attr(Ctemp, "pivot")
  oo <- order(pivot)
  C <- t(Ctemp[,oo])
  Cinv <- solve(C)
  S00inv <- solve(S00)
  valeigen <- eigen(Cinv%*%t(H)%*%SK0%*%S00inv%*%S0K%*%H%*%t(Cinv))
  e <- valeigen$vector
  V <- H%*%t(Cinv)%*%e
  Vorg <- V
  idx <- ncol(V)
  V <- sapply(1:idx, function(x) V[,x]/V[1,x])
  W <- S0K%*%V%*%solve(t(V)%*%SKK%*%V)
  PI <- W %*% t(V)
  DELTA <- S00 - S0K%*%V%*%solve(t(V)%*%SKK%*%V)%*%t(V)%*%SK0
  GAMMA <- M01%*%M11inv - PI%*%MK1%*%M11inv
  lambda.res <- valeigen$values
  lambda <- z@lambda
  teststat <- N*sum(log((1-lambda.res[1:r])/(1-lambda[1:r])))
  df <- r*(P - ncol(H))
  pval <- c(1-pchisq(teststat, df), df)
  new("cajo.test", Z0=z@Z0, Z1=z@Z1, ZK=z@ZK, ecdet=z@ecdet, H=H, A=NULL, B=NULL, type=type, teststat=teststat, pval=pval, lambda=lambda.res, Vorg=Vorg, V=V, W=W, PI=PI, DELTA=DELTA, DELTA.bb=NULL, DELTA.ab=NULL, DELTA.aa.b=NULL, GAMMA=GAMMA, test.name="Johansen-Procedure")
}