blrtest {urca} | R Documentation |
Likelihood ratio test for restrictions on beta
Description
This function estimates a restricted VAR, where the restrictions are
base upon \bold{\beta}
, i.e. the cointegration vectors. The test
statistic is distributed as \chi^2
with r(p-s)
degrees of
freedom, with s
equal to the columns of the restricting matrix
\bold{H}
.
Usage
blrtest(z, H, r)
Arguments
z |
An object of class |
H |
The |
r |
The count of cointegrating relationships; |
Details
Please note, that in the case of nested hypothesis, the reported
p-value should be adjusted to r(s1-s2)
(see Johansen, S. and
K. Juselius (1990)).
Value
An object of class cajo.test
.
Author(s)
Bernhard Pfaff
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
ca.jo
, alrtest
, ablrtest
,
bh5lrtest
, bh6lrtest
, 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)
HD0 <- matrix(c(-1, 1, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 1), c(5,4))
summary(blrtest(sjd.vecm, H=HD0, r=1))