Re: [R] VECM with UNRESTRICTED TREND

2011-03-31 Thread renoir vieira
; colnames(trend) <- "trd" >> ca.jo(sjf, type = "trace", ecdet = "const", K = 2, spec = "longrun", >> dumvar = trend) >> >> Best, >> Bernhard >> >> >> >>  -- >> *Von:* Grzegor

Re: [R] VECM with UNRESTRICTED TREND

2011-03-31 Thread Grzegorz Konat
ames(trend) <- "trd" > ca.jo(sjf, type = "trace", ecdet = "const", K = 2, spec = "longrun", > dumvar = trend) > > Best, > Bernhard > > > > ------ > *Von:* Grzegorz Konat [mailto:grzegorz.ko...@ibrkk.pl

Re: [R] VECM with UNRESTRICTED TREND

2011-03-31 Thread Pfaff, Bernhard Dr.
ngrun", dumvar = trend) Best, Bernhard Von: Grzegorz Konat [mailto:grzegorz.ko...@ibrkk.pl] Gesendet: Donnerstag, 31. März 2011 14:40 An: Pfaff, Bernhard Dr.; r-help@r-project.org Betreff: Re: [R] VECM with UNRESTRICTED TREND

Re: [R] VECM with UNRESTRICTED TREND

2011-03-31 Thread Grzegorz Konat
> Best, > Greg > > > > 2011/3/31 Pfaff, Bernhard Dr. > >> Hello Greg, >> >> you include your trend as a (Nx1) matrix and use this for 'dumvar'. The >> matrix 'dumvar' is just added to the VECM as deterministic regressors and >> w

Re: [R] VECM with UNRESTRICTED TREND

2011-03-31 Thread Pfaff, Bernhard Dr.
rd Von: Grzegorz Konat [mailto:grzegorz.ko...@ibrkk.pl] Gesendet: Mittwoch, 30. März 2011 20:50 An: Pfaff, Bernhard Dr.; r-help@r-project.org Betreff: Re: [R] VEC

Re: [R] VECM with UNRESTRICTED TREND

2011-03-31 Thread Grzegorz Konat
after, if > I am not mistaken. But we aware that this implies a quadratic trend for the > levels. > > Best, > Bernhard > > -- > *Von:* Grzegorz Konat [mailto:grzegorz.ko...@ibrkk.pl] > *Gesendet:* Mittwoch, 30. März 2011 20:50 > *An:* Pfaff, Bernhard

Re: [R] VECM with UNRESTRICTED TREND

2011-03-31 Thread Pfaff, Bernhard Dr.
that this implies a quadratic trend for the levels. Best, Bernhard Von: Grzegorz Konat [mailto:grzegorz.ko...@ibrkk.pl] Gesendet: Mittwoch, 30. März 2011 20:50 An: Pfaff, Bernhard Dr.; r-help@r-project.org Betreff: Re: [R] VECM wit

Re: [R] VECM with UNRESTRICTED TREND

2011-03-30 Thread Grzegorz Konat
t; -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 >

Re: [R] VECM with UNRESTRICTED TREND

2011-03-30 Thread Pfaff, Bernhard Dr.
1 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

[R] VECM with UNRESTRICTED TREND

2011-03-30 Thread Grzegorz Konat
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"/"l