# [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.
> 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.