[R] Cointegration Test in R

Pfaff, Bernhard Dr. Bernhard_Pfaff at fra.invesco.com
Fri Jun 30 11:08:25 CEST 2006

Hello Dennis,

have you considered the function bh6lrtest() in the package urca? 
To my knowledge, there is no other package available that offers VECM functionalities. 


ps: As you migth be interested in VAR and SVAR too: I am currently working on such a package which should be submitted to CRAN after summer. 

Dr. Bernhard Pfaff
Global Structured Products Group

Invesco Asset Management Deutschland GmbH
Bleichstrasse 60-62
D-60313 Frankfurt am Main

Tel: +49(0)69 29807 230
Fax: +49(0)69 29807 178
Email: bernhard_pfaff at fra.invesco.com  

>-----Ursprüngliche Nachricht-----
>Von: r-help-bounces at stat.math.ethz.ch 
>[mailto:r-help-bounces at stat.math.ethz.ch] Im Auftrag von 
>Dennis Heidemann
>Gesendet: Donnerstag, 29. Juni 2006 21:20
>An: R-help at stat.math.ethz.ch
>Betreff: [R] Cointegration Test in R
>I'm using the blrtest() function in the urca package
>to test cointegration relationships.
>Unfortunately, the hypothesis (restrictions on beta) 
>specifies the same restriction on all cointegration vectors.
>Is there any possibility to specify different restrictions on
>the cointegration vectors?
>Are there any other packages in R using cointegration tests?
>Thanks and best regards.
>Dennis Heidemann
>	[[alternative HTML version deleted]]
>R-help at stat.math.ethz.ch mailing list
>PLEASE do read the posting guide! 
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