urca (version 1.3-4)

bh5lrtest: Likelihood ratio test for restrictions under partly known beta

Description

This function estimates a restricted VAR, where some of the cointegration vectors are known. The known cointegration relationships have to be provided in an \(p x r1\) matrix \(\bold{H}\). The test statistic is distributed as \(\chi^2\) with \((p-r)r1\) degrees of freedom, with \(r\) equal to total number of cointegration relations.

Usage

bh5lrtest(z, H, r)

Value

An object of class cajo.test.

Arguments

z

An object of class ca.jo.

H

The \((p \times r1)\) matrix containing the known cointegration relations.

r

The count of cointegrating relationships;
inferred from summary(ca.jo-object).

Author

Bernhard Pfaff

Details

Please note, that the number of columns of \(\bold{H}\) must be smaller than the count of cointegration relations \(r\).

References

Johansen, S. (1995), Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, Oxford.

Johansen, S. and Juselius, K. (1992), Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK, Journal of Econometrics, 53, 211--244.

See Also

ca.jo, alrtest, ablrtest, blrtest, bh6lrtest, cajo.test-class, ca.jo-class and urca-class.

Examples

data(UKpppuip)
attach(UKpppuip)
dat1 <- cbind(p1, p2, e12, i1, i2)
dat2 <- cbind(doilp0, doilp1)
H1 <- ca.jo(dat1, type='trace', K=2, season=4, dumvar=dat2)
H51 <- c(1, -1, -1, 0, 0)
H52 <- c(0, 0, 0, 1, -1)
summary(bh5lrtest(H1, H=H51, r=2))
summary(bh5lrtest(H1, H=H52, r=2))