[R] VECM with UNRESTRICTED TREND

[Pfaff, Bernhard Dr.]

Hello Greg,

you can exploit the argument 'dumvar' for this. See ?ca.jo

Best,
Bernhard 

> -----Ursprüngliche Nachricht-----
> Von: r-help-bounces at r-project.org 
> [mailto:r-help-bounces at r-project.org] Im Auftrag von Grzegorz Konat
> Gesendet: Mittwoch, 30. März 2011 16:46
> An: r-help at r-project.org
> Betreff: [R] VECM with UNRESTRICTED TREND
> 
> Dear All,
> 
> My question is:
> 
> how can I estimate VECM system with "unrestricted trend" (aka 
> "case 5") option as a deterministic term?
> 
> As far as I know, ca.jo in urca package allows for "restricted trend"
> only [vecm
> <- ca.jo(data, type = "trace"/"eigen", ecdet = "trend", K = 
> n, spec = "transitory"/"longrun")].
> Obviously, I don't have to do this in urca, so if another 
> package gives the possibility, please let me know too!
> 
> Thanks in advance!
> 
> Greg
> 
> 	[[alternative HTML version deleted]]
> 
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide 
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
> 
*****************************************************************
Confidentiality Note: The information contained in this ...{{dropped:10}}