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, i.e. the loading vectors and β, i.e the matrix of cointegration vectors. The test statistic is distributed as χ2 with (p−m)r+(p−s)r degrees of freedom, with m equal to the columns of the restricting matrix A, s equal to the columns of the restricting matrix H and p the order of the VAR.
latin1
ablrtest(z, H, A, r)
Arguments
z: An object of class ca.jo.
H: The (p×s) matrix containing the restrictions on β.
A: The (p×m) matrix containing the restrictions on α.
r: The count of cointegrating relationships;
inferred from summary(ca.jo-object).
Details
The restricted α matrix, as well as β 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.