rm(list=ls())
library(urca)
data(denmark)
sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
sjd.vecm <- ca.jo(sjd, ecdet = "const", type="eigen", K=2, spec="longrun",
season=4)
summary(sjd.vecm)
plot(sjd.vecm)
plotres(sjd.vecm)
#
data(finland)
sjf <- finland
sjf.vecm <- ca.jo(sjf, ecdet = "none", type="eigen", K=2,
spec="longrun", season=4)
summary(sjf.vecm)
plot(sjf.vecm)
plotres(sjf.vecm)
sjf.vec.rls=cajorls(sjf.vecm,r=2)
sjf.vec.rls$rlm
lttest(sjf.vecm, r=3)
HD0 <- matrix(c(-1, 1, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 1), c(5,4))
summary(blrtest(sjd.vecm, H=HD0, r=1))
sjd.vecm1 <- ca.jo(sjd, ecdet = "const", type="eigen", K=2, spec="longrun",
season=4)
summary(alphaols(sjd.vecm1))
summary(alphaols(sjd.vecm1, reg.number=1))
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))

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)
H6 <- matrix(c(1,0,0,0,0, 0,1,0,0,0, 0,0,1,0,0), c(5,3))
bh6lrtest(z=H1, H=H6, r=2, r1=1, conv.val=0.0001, max.iter=50)