Dear All,
My question is:
how can I estimate VECM system with "unrestricted trend" (aka "case 5")
option as a deterministic term?
As far as I know, ca.jo in urca package allows for "restricted trend"
only [vecm
<- ca.jo(data, type = "trace"/"eigen", ecdet = "trend", K = n, spec =
"transitory"/"longrun")].
Obviously, I don't have to do this in urca, so if another package gives the
possibility, please let me know too!
Thanks in advance!
Greg
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