bh5lrtest {urca} | R Documentation

## Likelihood ratio test for restrictions under partly known beta

### Description

This function estimates a restricted VAR, where some of the cointegration vectors are known. The known cointegration relationships have to be provided in an p x r1 matrix H. The test statistic is distributed as chi^2 with (p-r)r1 degrees of freedom, with r equal to total number of cointegration relations.

### Usage

    bh5lrtest(z, H, r)

### Arguments

`z` | An object of class `ca.jo`.
`H` | The (p times r1) matrix containing the known cointegration relations.
`r` | The count of cointegrating relationships; inferred from `summary(ca.jo-object)`.

### Details

Please note, that the number of columns of H must be smaller than the count of cointegration relations r.

### Value

An object of class `cajo.test`.

### Author(s)

Bernhard Pfaff

### References

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

Johansen, S. and Juselius, K. (1992), Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK, Journal of Econometrics, 53, 211–244.

### See Also

`ca.jo`, `alrtest`, `ablrtest`, `blrtest`, `bh6lrtest`, `cajo.test-class`, `ca.jo-class` and `urca-class`.

### Examples

    data(UKpppuip)
    attach(UKpppuip)
    dat1 <- cbind(p1, p2, e12, i1, i2)
    dat2 <- cbind(doilp0, doilp1)
    H1 <- ca.jo(dat1, type='trace', K=2, season=4, dumvar=dat2)
    H51 <- c(1, -1, -1, 0, 0)
    H52 <- c(0, 0, 0, 1, -1)
    summary(bh5lrtest(H1, H=H51, r=2))
    summary(bh5lrtest(H1, H=H52, r=2))

[Package urca version 1.2-3 Index]