urca (version 1.2-9)

cajo.test-class: Representation of class cajo.test

Description

This class contains the relevant information by estimating and testing a VAR under linear restrictions on $\bold{\alpha}$ and $\bold{\beta}$.

Slots

Z0:

Object of class "matrix": The matrix of the differenced series.

Z1:

Object of class "matrix": The regressor matrix, except for the lagged variables in levels.

ZK:

Object of class "matrix": The matrix of the lagged variables in levels.

ecdet:

Object of class "character": Specifies the deterministic term to be included in the cointegration relation. This can be either "none", "const", or "trend".

H:

Object of class "ANY": The matrix containing the restrictions placed upon $\bold{\beta}$.

A:

Object of class "ANY": The matrix containing the restrictions placed upon $\bold{\alpha}$.

B:

Object of class "ANY": The matrix orthogonal to matrix $\bold{A}$.

type:

Object of class "character": The test type.

teststat:

Object of class "numeric": The value of the test statistic.

pval:

Object of class "vector": The p-value and the degrees of freedom.

lambda:

Object of class "vector": The eigenvalues of the restricted model.

Vorg:

Object of class "matrix": The matrix of eigenvectors, such that $\hat V_{\dots}'(H'S_{\dots}H)\hat V_{\dots} = I$.

V:

Object of class "matrix": The matrix of the restricted eigenvectors, normalised with respect to the first variable.

W:

Object of class "matrix": The matrix of the corresponding loading weights.

PI:

Object of class "matrix": The coefficient matrix of the lagged variables in levels.

DELTA:

Object of class "ANY": The variance/covarinace matrix of $\bold{V}$.

DELTA.bb:

Object of class "ANY": The variance/covarinace matrix of the marginal factor $\bold{B}'\bold{R}_{0t}$.

DELTA.ab:

Object of class "ANY": The variance/covarinace matrix of the conditional distribution of $\bold{A}'\bold{R}_{0t}$ and $\bold{R}_{kt}$.

DELTA.aa.b:

Object of class "ANY": The variance/covarinace matrix of the restricted loading matrix.

GAMMA:

Object of class "matrix": The coefficient matrix of $\bold{Z1}$.

test.name:

Object of class "character": The name of the test, i.e. `Johansen-Procedure'.

Extends

Class urca, directly.

Methods

Type showMethods(classes="cajo.test") at the R prompt for a complete list of methods which are available for this class. Useful methods include

show:

test-statistic.

summary:

like show, but p-value of test statistic, restricted eigenvectors, loading matrix and restriction matrices $\bold{H}$ and $\bold{A}$, where applicable, added.

References

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.

See Also

ablrtest, alrtest, blrtest, ca.jo, ca.jo-class and urca-class.