[R] Fwd: Use of R for VECM
vramaiah at neo.tamu.edu
vramaiah at neo.tamu.edu
Fri Nov 11 16:06:23 CET 2011
----- Forwarded Message -----
From: vramaiah at neo.tamu.edu
To: "bernhard pfaff" <bernhard.pfaff at pfaffikus.de>
Sent: Friday, November 11, 2011 9:03:11 AM GMT -06:00 US/Canada Central
Subject: Use of R for VECM
Hello Fellow R'ers
I am a new user of R and I am applying it for solving Bi-Variate (Consumption and Output) VECM with Co-Integration (I(1)) with three lags on Consumption and Output expressed aa lags of differences. R Code and one segment fo the output (other parts of the output are repeatitive) are as follows.
> us=read.table("usdata.1995-2009.txt",header=T)
> sjd<-us[,c("Y","C")]
> sjd.vecm1 <- ca.jo(sjd, ecdet='const', type="eigen", K=3, spec="longrun",
+ season=4)
> sjd.vecm2 <- ca.jo(sjd, ecdet='const', type="eigen", K=3, spec="transitory",
+ season=4)
> sjd.vecm.ols1 <- cajools(sjd.vecm1)
> sjd.vecm.ols2 <- cajools(sjd.vecm2)
> summary(sjd.vecm.ols1)
Response Y.d :
Call:
lm(formula = substitute(Y.d), data = data.mat)
Residuals:
Min 1Q Median 3Q Max
-0.0049787 -0.0012948 0.0000703 0.0009653 0.0063192
Coefficients:
Estimate Std. Error t value Pr(>|t|)
sd1 -0.0002012 0.0007653 -0.263 0.793820
sd2 0.0013339 0.0007616 1.752 0.086378 .
sd3 0.0007372 0.0007947 0.928 0.358348
Y.dl1 -0.2215246 0.1600532 -1.384 0.172875
C.dl1 0.9220846 0.1646314 5.601 1.08e-06 ***
Y.dl2 -0.1600219 0.1273838 -1.256 0.215245
C.dl2 0.4712112 0.2124175 2.218 0.031401 *
Y.l3 -0.3227708 0.0881079 -3.663 0.000631 ***
C.l3 0.2376579 0.0688854 3.450 0.001194 **
constant 0.4707624 0.1182284 3.982 0.000236 ***
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 0.002013 on 47 degrees of freedom
Multiple R-squared: 0.7053, Adjusted R-squared: 0.6426
F-statistic: 11.25 on 10 and 47 DF, p-value: 1.707e-09
I am trying to decipher the output and have the following questions.
1. If you have published a book with explanations of the output, I would like to acquire one. Please advise me where I can get one. It might me and you lot of time. In the meantime....
2. Are Y.dl1, C.dl1, Y.dl2, C.dl2, Y.l3 and C.l3 are the coefficients I am looking for?
3. My equition requires Y.l1 and C.l1. Is there a way I could change from Y.l3 and C.l3
4. I need to use these coefficients for forecasting. What command I use to extract the coefficients from this program?
5. What are sd1, sd2, sd3? I did not input any "seasonal dummies" and yet the output seems to have included them. Does it affect the value of the coefficients? Is there a better way to reframe the command to avoid them?
I hope it is not too much to ask for your help.
I thank you in advance.
Ram Ramaiah
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