urca (version 1.2-9)

ablrtest: Likelihood ratio test for restrictions on alpha and beta

Description

This function estimates a restricted VAR, where the restrictions are based upon $\bold{\alpha}$, i.e. the loading vectors and $\bold{\beta}$, i.e the matrix of cointegration vectors. The test statistic is distributed as $\chi^2$ with $(p-m)r + (p-s)r$ degrees of freedom, with $m$ equal to the columns of the restricting matrix $\bold{A}$, $s$ equal to the columns of the restricting matrix $\bold{H}$ and $p$ the order of the VAR.

Usage

ablrtest(z, H, A, r)

Arguments

z

An object of class ca.jo.

H

The $(p \times s)$ matrix containing the restrictions on $\bold{\beta}$.

A

The $(p \times m)$ matrix containing the restrictions on $\bold{\alpha}$.

r

The count of cointegrating relationships; inferred from summary(ca.jo-object).

Value

An object of class cajo.test.

Details

The restricted $\bold{\alpha}$ matrix, as well as $\bold{\beta}$ is normalised with respect to the first variable.

References

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.

See Also

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

Examples

data(denmark)
sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
sjd.vecm <- ca.jo(sjd, ecdet = "const", type="eigen", K=2, spec="longrun",
season=4)
HD1 <- matrix(c(1, -1, 0, 0, 0, 0, 0, 1, -1, 0, 0, 0, 0, 0, 1), c(5,3))
DA <- matrix(c(1,0,0,0, 0, 1, 0, 0, 0, 0, 0, 1), c(4,3))
summary(ablrtest(sjd.vecm, H=HD1, A=DA, r=1))