est.we.mdls: Estimation of Weakly Exogenous VEC Models

In GVAR: Vector Error Correction Model (VECM), VECM with exogenous I(1) variables, Global VAR (GVAR)

Description

est.we.mdls will calculate weakly exogneous VECMs and provide trace and eigenvalue statistics to determine the cointegration rank of the system

Usage

est.we.mdls(z.ts, etw, p, q = p, n, ex = 0, lex = NULL, case, r, we.test = FALSE)

Arguments

z.ts	a time series data matrix containing endogenous and weakly exogenous variables
etw	estimation time window, a list of the form list(start=,end=,freq=)
p	lag order of endogenous variables
q	lag order of (weakly) exogenous variables
n	number of endogenous variables
ex	number of strictly exogenous variables
lex	lag order of strictly exogenous variables
case	intercept and trend options from I to V, where case I is a zero intercept, zero trend model, case II is a restricted intercept, zero trend model, III is a unrestricted intercept, zero trend model, IV is a unrestricted intercept restricted trend model and V is a unrestricted intercept, unrestricted trend model
r	cointegrating rank used for model estimation
we.test	perform weak exogeneity F tests

Details

Calculating weakly exogneous VECMs:

Value

An object of class vecm containing the following items

type	is set to weakly exogenous VECM by default
dat	data used for calculating the model
freq	frequency of the time series used
m	number of total variables entering the model
n	number of endogenous variables entering the model
p	lags for the endogenous variables
q	lags for the (weakly) exogenous variables
ex	number of strictly exogenous variables
lex	lags for strictly exogenous variables
r	cointegrating rank used for model estimation
T	length of the time series, given without initial values
alpha	list of model coefficients for the different cointegration ranks, see details
beta	list of model coefficients for the different cointegration ranks, see details
Pi.y	list of model coefficients for the different cointegration ranks, see details
Phi	list of model coefficients for the different cointegration ranks, see details
Psi	list of model coefficients for the different cointegration ranks, see details
Lambda	list of model coefficients for the different cointegration ranks, see details
case	intercept and trend specification from I to V, see arguments
c.0	list of intercepts for the different cointegration ranks, see details
c.1	list of trend coefficients for the different cointegration ranks, see details
Omega.uu	list of covariance matrices of the error terms for the different cointegration ranks
S	product moment matrices
lambda	eigenvalues
residuals	model residuals
we.test.res	test statistics for weak exogeneity tests

Author(s)

Martin Summer, Klaus Rheinberger, Rainer Puhr

References

Soeren Johansen. Likelihood-Based Inference in Cointegrated Vector Auto-Regressive Models. Advanced Texts in Econometrics. Oxford University Press, 1995.

M. Hashem Pesaran, Yongcheol Shin, and Richard J. Smith. Structural analysis of vector error correction models with exogenous I(1) variables. Journal of Econometrics, 97:293-343, 2000.

See Also

est.vecm.mdls

Examples

##---- Should be DIRECTLY executable !! ----

GVAR documentation built on May 2, 2019, 6:30 p.m.