ablrtest function

Likelihood ratio test for restrictions on alpha and beta

Likelihood ratio test for restrictions on alpha and beta

This function estimates a restricted VAR, where the restrictions are based upon α\bold{\alpha}, i.e. the loading vectors and β\bold{\beta}, i.e the matrix of cointegration vectors. The test statistic is distributed as χ2\chi^2 with (pm)r+(ps)r(p-m)r + (p-s)r degrees of freedom, with mm equal to the columns of the restricting matrix A\bold{A}, ss equal to the columns of the restricting matrix H\bold{H} and pp the order of the VAR. latin1

ablrtest(z, H, A, r)

Arguments

  • z: An object of class ca.jo.

  • H: The (p×s)(p \times s) matrix containing the restrictions on β\bold{\beta}.

  • A: The (p×m)(p \times m) matrix containing the restrictions on α\bold{\alpha}.

  • r: The count of cointegrating relationships;

    inferred from summary(ca.jo-object).

Details

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

Returns

An object of class cajo.test.

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))

Author(s)

Bernhard Pfaff

  • Maintainer: Bernhard Pfaff
  • License: GPL (>= 2)
  • Last published: 2024-05-27

Useful links