[R] Unclear about the output from summary of ca.jo from package urca
peter dalgaard
pd@|gd @end|ng |rom gm@||@com
Fri Aug 24 12:02:59 CEST 2018
Well, reading the code is not much harder than reading the papers (not that that helps much, been there...)
I don't actually know the answer, but the notation comes from this bit in ca.jo():
if (spec == "longrun") {
ZK <- cbind(x[-c((N - K + 1):N), ], 1)
Lnotation <- K
}
else if (spec == "transitory") {
ZK <- cbind(x[-N, ], 1)[K:(N - 1), ]
Lnotation <- 1
}
colnames(ZK) <- c(paste(colnames(x), ".l", Lnotation,
sep = ""), "constant")
(actually there are several such bits).
K=2 by default, so you get .l2 for the "longrun" spec and ".l1" for "transitory". So I would guess that studying the two specification formats from the help page might give the solution to the riddle eventually.
(Another issue is that the column names are clearly rubbish, only the row names make sense. The columns are eigenvectors sorted by eigenvalues which has no relation to the input columns. Presumably, they are just an artifact of the matrix operations.)
-pd
> On 24 Aug 2018, at 11:31 , Ashim Kapoor <ashimkapoor using gmail.com> wrote:
>
> Dear Bert,
>
> I have read some of the references. I do understand what the 2 matrices(
> the cointegrating relationships and the alpha / loading matrix which gives
> the speed of the mean reversion) are. What I do not understand is the
> format of the output of the package. My main query is that why do we have
> .l2 in the cointegrating relationships. They are contemporaneous
> relationships , they should not have .l2 in the end. That's my query.
>
> Many thanks,
> Ashim
>
> On Thu, Aug 23, 2018 at 7:52 PM Bert Gunter <bgunter.4567 using gmail.com> wrote:
>
>> This is about statistics , not R programming, and so is off topic here.
>> Your first port of call for this sort of thing should be the package docs,
>> **including any references** . There are references given. Have you studied
>> them??
>>
>> Cheers,
>>
>> Bert Gunter
>>
>> "The trouble with having an open mind is that people keep coming along and
>> sticking things into it."
>> -- Opus (aka Berkeley Breathed in his "Bloom County" comic strip )
>>
>>
>> On Thu, Aug 23, 2018 at 2:12 AM Ashim Kapoor <ashimkapoor using gmail.com>
>> wrote:
>>
>>> Dear All,
>>>
>>> I am not sure about the summary of the function ca.jo. I have posted my
>>> query here :-
>>>
>>>
>>> https://stats.stackexchange.com/questions/363188/interpreting-the-names-used-in-the-output-of-johansen-test-in-package-urca-in-r
>>>
>>> I did not receive any reply so I am posting my query here.
>>>
>>> Many thanks and best regards,
>>> Ashim
>>>
>>> [[alternative HTML version deleted]]
>>>
>>> ______________________________________________
>>> R-help using r-project.org mailing list -- To UNSUBSCRIBE and more, see
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>>
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
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> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
--
Peter Dalgaard, Professor,
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
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