urca (version 1.3-4)

lttest: Likelihood ratio test for no linear trend in VAR

Description

Conducts a likelihood ratio test for no inclusion of a linear trend in a VAR. That is, the Null hypothesis is for not including a linear trend and is assigned as 'H2*(r)'. The test statistic is distributed as \(\chi^2\) square with \((p-r)\) degrees of freedom.

Usage

lttest(z, r)

Value

lttest

Matrix containing the value of the test statistic and its p-value.

Arguments

z

An object of class `ca.jo'.

r

The count of cointegrating relationships.

Author

Bernhard Pfaff

Details

The count of cointegrating relations should be given as integer and should be in the interval \(1 \leq r < P\).

References

Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration -- with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 2, 169--210.

Johansen, S. (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica, Vol. 59, No. 6, 1551--1580.

See Also

ca.jo and ca.jo-class.

Examples

data(denmark)
sjd <- as.matrix(denmark[, c("LRM", "LRY", "IBO", "IDE")])
sjd.vecm <- ca.jo(sjd, ecdet = "const", type="eigen", K=2, spec="longrun",
season=4)
lttest(sjd.vecm, r=1)
#
data(finland)
sjf <- as.matrix(finland)
sjf.vecm <- ca.jo(sjf, ecdet = "none", type="eigen", K=2,
spec="longrun", season=4)
lttest(sjf.vecm, r=3)