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Is there any R package or code snippet to obtain the Granger representation of a Vector Error Correction Model (VECM) as describe in HANSEN, 2005 ?

The VECM model would be the output of tsDyn::VECM or urca::cajorls.

Reference:

P. R., HANSEN. Granger's representation theorem: A closed-form expression for I(1) proccesses, 2005. Econometrics Journal (8): 23-38.

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  • $\begingroup$ May I ask why you need it for? They way I see it, asking for this is, in a way, similar to ask for a code that would rewrite a stable VAR into a VMA, for which the applications lie mainly on calculating impulse-responses - something that is straightforward to get from the packages you mentioned. $\endgroup$ Commented Apr 12, 2018 at 1:55
  • $\begingroup$ I want to get the trend and cycle components and use the trend component as an input for another application (compute deviation between trend and observed values) $\endgroup$ Commented Apr 12, 2018 at 9:23

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