alrtest {urca} | R Documentation |
Likelihood ratio test for restrictions on alpha
Description
This function estimates a restricted VAR, where the restrictions are
base upon \bold{\alpha}
, i.e. the loading vectors. The test
statistic is distributed as \chi^2
with r(p-m)
degrees of
freedom, with m
equal to the columns of the restricting matrix
\bold{A}
.
Usage
alrtest(z, A, r)
Arguments
z |
An object of class |
A |
The |
r |
The count of cointegration relationships; |
Details
The orthogonal matrix to \bold{A}
can be accessed as
object@B
. The restricted \bold{\alpha}
matrix is
normalised with respect to the first variable.
Value
An object of class cajo.test
.
Author(s)
Bernhard Pfaff
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
, blrtest
, ablrtest
,
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)
DA <- matrix(c(1,0,0,0), c(4,1))
summary(alrtest(sjd.vecm, A=DA, r=1))