[R] Diagnostic testing in a VEC

Pfaff, Bernhard Dr. Bernhard_Pfaff at fra.invesco.com
Tue Oct 9 09:27:39 CEST 2012

Hello Laura,

you convert your VEC model to its levl-VAR representation and employ the diagnostic tests you mentioned. This can be accomplished with the functions/methods contained in the package 'vars'. You might want to have a look at the vignette of the latter package.


-----Ursprüngliche Nachricht-----
Von: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] Im Auftrag von Laura Catalina Echeverri Guzmán
Gesendet: Montag, 8. Oktober 2012 17:34
An: r-help at r-project.org
Betreff: [R] Diagnostic testing in a VEC

Hi everyone,

I'm using the Johansen framework to determine a VEC using package urca. I have estimated the corresponding VEC using likelihood ratio test for restrictions on alpha, beta or both and I have generated objects of the class cajo.test. Now I want to diagnostic tests in the model, like heteroskedasticity test, residuals normality and serial autocorrelation, but I cannot find the way to do it in objects like the one I have. How can I do it? what packages/methods I may use? Do I have to transform this object in other object to do it easily?

I would appreciate if someone could help me with this issue.

Thank you!

Laura Catalina Echeverri Guzmán

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