I am trying to use the R package "urca". It has functions
cajools, which do ordinary least squares (OLS) regression of restricted and unrestricted vector error correction model (VECM) respectively. Both functions take in the VECM estimated using Johansen procedure and return the regression parameters and cointegrating vectors.
I do not understand, why is there a need to do OLS regression of VECM? Using Johansen test on the data (by calling
ca.jo) will give me the cointegrating vectors. What is the difference between cointegrating vectors of VECM and OLS regression of VECM?