cajools             package:urca             R Documentation(latin1)

_O_L_S _r_e_g_r_e_s_s_i_o_n _o_f _V_E_C_M

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

     This function returns the OLS regressions of an unrestricted VECM,
     _i.e._ it returns an object of class 'lm'. The user can provide a
     certain number of which equation in the VECM should be estimated
     and reported, or if '"reg.number=NULL"' each equation in the VECM
     will be estimated and its results are reported.

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

     cajools(z, reg.number = NULL)

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

       z: An object of class 'ca.jo' or 'cajo.test'.

reg.number: The number of the equation in the VECM that should be
          estimated or if set to 'NULL' (the default), all equations
          within the VECM are estimated.

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

     Returns an object of class 'lm'.

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

     Bernhard Pfaff

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

     Johansen, S. (1988), Statistical Analysis of Cointegration
     Vectors, _Journal of Economic Dynamics and Control_, *12*,
     231-254.

     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.

     Johansen, S. (1991), Estimation and Hypothesis Testing of
     Cointegration Vectors in Gaussian Vector Autoregressive Models,
     _Econometrica_, *Vol. 59, No. 6*, 1551-1580.

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

     'ca.jo', 'cajorls', 'lm', 'ca.jo-class' and 'urca-class'.

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

     data(denmark)
     sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
     sjd.vecm1 <- ca.jo(sjd, ecdet = "const", type="eigen", K=2, spec="longrun",
     season=4)
     sjd.vecm2 <- ca.jo(sjd, ecdet = "const", type="eigen", K=2, spec="transitory",
     season=4)
     sjd.vecm.ols1 <- cajools(sjd.vecm1)
     sjd.vecm.ols2 <- cajools(sjd.vecm2)
     summary(sjd.vecm.ols1)
     summary(sjd.vecm.ols2)

