Hello Bernhard, Thank You very much. Unfortunately I'm still not really sure how should I use dummy vars in this context... If I have a system of three variables (x, y, z), lag order = 2 and 1 cointegrating relation, what should I do? I mean, what kind of 'pattern' should be used to create those dummy variables, what should they represent and how many of them do I need?
Many thanks in advance! Best, Greg 2011/3/30 Pfaff, Bernhard Dr. <bernhard_pf...@fra.invesco.com> > Hello Greg, > > you can exploit the argument 'dumvar' for this. See ?ca.jo > > Best, > Bernhard > > > -----Ursprüngliche Nachricht----- > > Von: r-help-boun...@r-project.org > > [mailto:r-help-boun...@r-project.org] Im Auftrag von Grzegorz Konat > > Gesendet: Mittwoch, 30. März 2011 16:46 > > An: r-help@r-project.org > > Betreff: [R] VECM with UNRESTRICTED TREND > > > > 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 > > > > [[alternative HTML version deleted]] > > > > ______________________________________________ > > R-help@r-project.org mailing list > > https://stat.ethz.ch/mailman/listinfo/r-help > > PLEASE do read the posting guide > > http://www.R-project.org/posting-guide.html > > and provide commented, minimal, self-contained, reproducible code. > > > ***************************************************************** > Confidentiality Note: The information contained in this message, > and any attachments, may contain confidential and/or privileged > material. It is intended solely for the person(s) or entity to > which it is addressed. Any review, retransmission, dissemination, > or taking of any action in reliance upon this information by > persons or entities other than the intended recipient(s) is > prohibited. If you received this in error, please contact the > sender and delete the material from any computer. > ***************************************************************** > > [[alternative HTML version deleted]]
______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
