bh5lrtest function

Likelihood ratio test for restrictions under partly known beta

Likelihood ratio test for restrictions under partly known beta

This function estimates a restricted VAR, where some of the cointegration vectors are known. The known cointegration relationships have to be provided in an pxr1p x r1 matrix H\bold{H}. The test statistic is distributed as χ2\chi^2 with (pr)r1(p-r)r1 degrees of freedom, with rr equal to total number of cointegration relations. latin1

bh5lrtest(z, H, r)

Arguments

  • z: An object of class ca.jo.

  • H: The (p×r1)(p \times r1) matrix containing the known cointegration relations.

  • r: The count of cointegrating relationships;

    inferred from summary(ca.jo-object).

Details

Please note, that the number of columns of H\bold{H} must be smaller than the count of cointegration relations rr.

Returns

An object of class cajo.test.

References

Johansen, S. (1995), Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, Oxford.

Johansen, S. and Juselius, K. (1992), Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK, Journal of Econometrics, 53 , 211--244.

See Also

ca.jo, alrtest, ablrtest, blrtest, bh6lrtest, cajo.test-class, ca.jo-class and urca-class.

Examples

data(UKpppuip) attach(UKpppuip) dat1 <- cbind(p1, p2, e12, i1, i2) dat2 <- cbind(doilp0, doilp1) H1 <- ca.jo(dat1, type='trace', K=2, season=4, dumvar=dat2) H51 <- c(1, -1, -1, 0, 0) H52 <- c(0, 0, 0, 1, -1) summary(bh5lrtest(H1, H=H51, r=2)) summary(bh5lrtest(H1, H=H52, r=2))

Author(s)

Bernhard Pfaff

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

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