R: Likelihood ratio test for restrictions on alpha
alrtest
R Documentation
Likelihood ratio test for restrictions on alpha
Description
This function estimates a restricted VAR, where the restrictions are
base upon old{α}, i.e. the loading vectors. The test
statistic is distributed as χ^2 with r(p-m) degrees of
freedom, with m equal to the columns of the restricting matrix
old{A}.
Usage
alrtest(z, A, r)
Arguments
z
An object of class ca.jo.
A
The (p \times m) matrix containing the restrictions on
old{α}.
r
The count of cointegration relationships;
inferred from summary(ca.jo-object).
Details
The orthogonal matrix to old{A} can be accessed as
object@B. The restricted old{α} matrix is
normalised with respect to the first variable.
Value
An object of class cajo.test.
Author(s)
Bernhard Pfaff
References
Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and
Inference on Cointegration – with Applications to the Demand for
Money, Oxford Bulletin of Economics and Statistics, 52,
2, 169–210.
Johansen, S. (1991), Estimation and Hypothesis Testing of
Cointegration Vectors in Gaussian Vector Autoregressive Models,
Econometrica, Vol. 59, No. 6, 1551–1580.
See Also
ca.jo, blrtest, ablrtest,
cajo.test-class, ca.jo-class and
urca-class.