CODEWITHSUNDEEP
r
Jusva
Jusva

Reputation: 43

Extract normalised Eigenvectors in R

I have got the following code:

test <- ca.jo(x, type='trace', ecdet='const', K=2)

When I am writing summary(test) there occurs:

Eigenvectors, normalised to first column: (These are the cointegration relations)

              gld.l2     gdx.l2
    gld.l2  1.000000  1.0000000
    gdx.l2 -1.488325 -0.1993057

How can I call these normalized Eigenvectors?

When I am writing 

slot(test, "Vorg")

I only get the following data

              gld.l2       gdx.l2
    gld.l2 -0.01346063 -0.012380092
    gdx.l2  0.02003378  0.002467422

but I want to call the normalized ones.

Upvotes: 2

Views: 1031

Answers (1)

Julius Vainora
Julius Vainora

Reputation: 48201

data(denmark)
sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
sjd.vecm <- ca.jo(sjd, ecdet = "const", type="eigen", K=2, spec="longrun",
                  season=4)
sm <- summary(sjd.vecm)
sm@V
            LRM.l2     LRY.l2     IBO.l2     IDE.l2   constant
LRM.l2    1.000000  1.0000000  1.0000000   1.000000  1.0000000
LRY.l2   -1.032949 -1.3681031 -3.2266580  -1.883625 -0.6336946
IBO.l2    5.206919  0.2429825  0.5382847  24.399487  1.6965828
IDE.l2   -4.215879  6.8411103 -5.6473903 -14.298037 -1.8951589
constant -6.059932 -4.2708474  7.8963696  -2.263224 -8.0330127

You might want to check str(sm) for more.

Upvotes: 3

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