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 pxr1 matrix H. The test statistic is distributed as χ2 with (p−r)r1 degrees of freedom, with r equal to total number of cointegration relations.
latin1
bh5lrtest(z, H, r)
Arguments
z: An object of class ca.jo.
H: The (p×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 must be smaller than the count of cointegration relations r.
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.