Vector error-correction model (VECM)

Vector error-correction model (VECM)

Usage

morie_vecm(Y, k_ar = 1, coint_rank = 1)

Arguments

Y

Numeric matrix (T x k) of I(1) candidate series.

k_ar

Number of lagged differences. Default 1.

coint_rank

Cointegration rank. Default 1.

Value

Named list with alpha, beta, Gamma, Sigma, loglik, n, k, rank, method.

Examples

morie_vecm(Y = matrix(rnorm(100), 50, 2))
#> $alpha
#>             y1.l2
#> y1.l2  1.00000000
#> y2.l2 -0.05805341
#> 
#> $beta
#>             y1.l2
#> y1.l2  1.00000000
#> y2.l2 -0.05805341
#> 
#> $Gamma
#> $Gamma$A1
#>         y1.l1     y2.l1
#> y1 -0.1783811 0.1638425
#> y2 -0.2197823 0.4737179
#> 
#> $Gamma$A2
#>          y1.l2       y2.l2
#> y1 -0.24919263 -0.08096701
#> y2 -0.09078291  0.54431144
#> 
#> 
#> $Sigma
#>              resids of y1 resids of y2
#> resids of y1    1.0659723    0.1424865
#> resids of y2    0.1424865    1.7532184
#> 
#> $loglik
#> [1] NA
#> 
#> $n
#> [1] 50
#> 
#> $k
#> [1] 2
#> 
#> $rank
#> [1] 1
#> 
#> $method
#> [1] "VECM via urca::ca.jo + vars::vec2var"
#>