bh5lrtest            package:urca            R Documentation(latin1)

_L_i_k_e_l_i_h_o_o_d _r_a_t_i_o _t_e_s_t _f_o_r _r_e_s_t_r_i_c_t_i_o_n_s _u_n_d_e_r _p_a_r_t_l_y _k_n_o_w_n _b_e_t_a

_D_e_s_c_r_i_p_t_i_o_n:

     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.

_U_s_a_g_e:

     bh5lrtest(z, H, r)

_A_r_g_u_m_e_n_t_s:

       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)'.

_D_e_t_a_i_l_s:

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

_V_a_l_u_e:

     An object of class 'cajo.test'.

_A_u_t_h_o_r(_s):

     Bernhard Pfaff

_R_e_f_e_r_e_n_c_e_s:

     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.

_S_e_e _A_l_s_o:

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

_E_x_a_m_p_l_e_s:

     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))

