[R] Interper output from cajorls and VECM

Rmillan emiln_leifsson at hotmail.com
Fri Aug 10 21:09:30 CEST 2012


Hi all R users,

I'm finding it a bit hard to interpret the output from the cajorls and VECM
function. I'm trying to model a VECM model with cointegration rank of 6, and
therefore I get the varibles ECT1, ECT2... ECT6 in my output. Are these
representing the estimates for my loading matrix or also denoted the "alpha"
matrix?

Thanks in advanced

Emil



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