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Kuma
Kuma
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Estimating a Vector Error Correction Model (VECM) in R can be done by using the command cajorls. The R output consists of the coefficients of the Error Correction Terms and the lagged values of the coefficients on the lagged variables used in the VECM, together with the "Betas". When using two variables, we are getting a bivariate model.

My questions:

  1. Although all the coefficients necessary to build the VECM are getting calculated by R, there are no standard errors or respective p-values reported in the R output. In R, is there a command that lets you compute the standard errors of the coefficients on the error correction terms (ECT)?

  2. Is it correct that the coefficients on the ECT describe the long-run relationship between the two variables in a mathematical way (the sign tells you what variables is "dominant")?

Estimating a Vector Error Correction Model (VECM) in R can be done by using the command cajorls. The R output consists of the coefficients of the Error Correction Terms and the lagged values of the coefficients on the variables used in the VECM, together with the "Betas". When using two variables, we are getting a bivariate model.

My questions:

  1. Although all the coefficients necessary to build the VECM are getting calculated by R, there are no standard errors or respective p-values reported in the R output. In R, is there a command that lets you compute the standard errors of the coefficients on the error correction terms (ECT)?

  2. Is it correct that the coefficients on the ECT describe the long-run relationship between the two variables in a mathematical way (the sign tells you what variables is "dominant")?

Estimating a Vector Error Correction Model (VECM) in R can be done by using the command cajorls. The R output consists of the coefficients of the Error Correction Terms and the values of the coefficients on the lagged variables used in the VECM, together with the "Betas". When using two variables, we are getting a bivariate model.

My questions:

  1. Although all the coefficients necessary to build the VECM are getting calculated by R, there are no standard errors or respective p-values reported in the R output. In R, is there a command that lets you compute the standard errors of the coefficients on the error correction terms (ECT)?

  2. Is it correct that the coefficients on the ECT describe the long-run relationship between the two variables in a mathematical way (the sign tells you what variables is "dominant")?

Source Link
Kuma
Kuma
  • 477
  • 2
  • 9
  • 18

Estimation of a VEC model in R (standard errors)

Estimating a Vector Error Correction Model (VECM) in R can be done by using the command cajorls. The R output consists of the coefficients of the Error Correction Terms and the lagged values of the coefficients on the variables used in the VECM, together with the "Betas". When using two variables, we are getting a bivariate model.

My questions:

  1. Although all the coefficients necessary to build the VECM are getting calculated by R, there are no standard errors or respective p-values reported in the R output. In R, is there a command that lets you compute the standard errors of the coefficients on the error correction terms (ECT)?

  2. Is it correct that the coefficients on the ECT describe the long-run relationship between the two variables in a mathematical way (the sign tells you what variables is "dominant")?