CODEWITHSUNDEEP
rstatisticstime-seriesdata-analysis
k.dkhk
k.dkhk

Reputation: 530

Cointegration analysis in R: How do I get the relevant information from `urca::cajorls`?

Consider the cajorls from urca package in R. This is an estimation of the VEC model given the a ca.jo object. How can I by the output of cajorls find the loading matrix alpha? Beta and the other parameters are simply I can't find the loading matrix. This code below is taken from a textbook. Can you help identify the loading matrix by adding to this piece of code.

  library(urca)
  set.seed(1234)
  n = 250
  e1 = rnorm(n, 0, 0.5)
  e2 = rnorm(n, 0, 0.5)
  e3 = rnorm(n, 0, 0.5)
  u1.ar1 = arima.sim(model = list(ar = 0.75), innov = e1, n = n)
  u2.ar1  = arima.sim(model = list(ar = 0.3), innov = e2, n = n)
  y3 = cumsum(e3)
  y1 = 0.8*y3 + u1.ar1
  y2 = -0.3*y3 + u2.ar1
  y.mat = data.frame(y1,y2,y3)
  plot(ts(y.mat))

  vecm = ca.jo(y.mat)
  jo.results = summary(vecm)
  print(jo.results )
  # reestimated
  vecm.r2 = cajorls(vecm, r = 2)

  summary(vecm.r2)

Maybe I should perform operations at mu own?

Upvotes: 0

Views: 431

Answers (1)

Johannes Stötzer
Johannes Stötzer

Reputation: 506

I ran your skript and found this

print(jo.results)

###################### 
# Johansen-Procedure # 
###################### 

Test type: maximal eigenvalue statistic (lambda max) , with linear trend 

Eigenvalues (lambda):
[1] 0.285347239 0.127915199 0.006887218

Values of teststatistic and critical values of test:

          test 10pct  5pct  1pct
r <= 2 |  1.71  6.50  8.18 11.65
r <= 1 | 33.94 12.91 14.90 19.19
r = 0  | 83.32 18.90 21.07 25.75

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

          y1.l2       y2.l2      y3.l2
y1.l2   1.00000  1.00000000  1.0000000
y2.l2 -43.55337 -0.07138149  0.0528435
y3.l2 -13.58606 -0.73018096 -3.4121605

Weights W:
(This is the loading matrix)

             y1.l2       y2.l2        y3.l2
y1.d -0.0007084809 -0.27450042 2.250788e-03
y2.d  0.0174625514  0.03598729 7.150656e-05
y3.d -0.0030589216 -0.02899838 3.086942e-03

Doesn't it say, Wieghts W: (This is the loading matrix)? Or do you look for something else?

Upvotes: 1

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