lttest function

Likelihood ratio test for no linear trend in VAR

Likelihood ratio test for no linear trend in VAR

Conducts a likelihood ratio test for no inclusion of a linear trend in a VAR. That is, the Null hypothesis is for not including a linear trend and is assigned as 'H2*(r)'. The test statistic is distributed as χ2\chi^2 square with (pr)(p-r) degrees of freedom. latin1

lttest(z, r)

Arguments

  • z: An object of class `ca.jo'.
  • r: The count of cointegrating relationships.

Details

The count of cointegrating relations should be given as integer and should be in the interval 1r<P1 \leq r < P.

Returns

  • lttest: Matrix containing the value of the test statistic and its p-value.

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 and ca.jo-class.

Examples

data(denmark) sjd <- as.matrix(denmark[, c("LRM", "LRY", "IBO", "IDE")]) sjd.vecm <- ca.jo(sjd, ecdet = "const", type="eigen", K=2, spec="longrun", season=4) lttest(sjd.vecm, r=1) # data(finland) sjf <- as.matrix(finland) sjf.vecm <- ca.jo(sjf, ecdet = "none", type="eigen", K=2, spec="longrun", season=4) lttest(sjf.vecm, r=3)

Author(s)

Bernhard Pfaff

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

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