I am trying to run a conintegration analysis. I am a former user of S-Plus and understand the output of the coint and VECM output, but I am having trouble understanding the equivalent output in R.
Here is what I ran > coint=ca.jo(data,constant=T,K=2,spec="longrun") > summary(coint) The first portion of the output that I did not understand [,1] [,2] [,3] y1 1.000000 1.000000 1.000000 y2 -1.114734 -2.461872 -2.216456 constant 1.364641 7.473149 7.331977 >From this i think that y1 - 1.143*y2 + 1.36 ~ I(0) What i don't understand is where columns [,2] and [,3] come into play. Now i run the following: > cajools(coint) Call: lm(formula = [EMAIL PROTECTED] ~ [EMAIL PROTECTED] + [EMAIL PROTECTED] - 1) Coefficients: [,1] [,2] [EMAIL PROTECTED] 0.028114 0.065968 [EMAIL PROTECTED] 0.371630 0.183797 [EMAIL PROTECTED] -0.011724 -0.002647 [EMAIL PROTECTED] 0.012282 0.001827 [EMAIL PROTECTED] -0.012430 0.001482 My understanding is that the specification of the VECM was as follows (with K=2): deltay1 = c1 + a1*(y1_t-1-b2*y2_t-1)+ phi11*lag(deltay1_t-1) + phi12*deltay2_t-1+e1 deltay2 = c2 + a2*(y1_t-1-b2*y2_t-1)+ phi21*lag(deltay1_t-1) + phi22*deltay2_t-1+e2 My guess is that Z11 and Z12 correspond to the above phis. That c1 and c1 correspond to ZK. That b2 is -1.11 from the step before? The rest, ZKy1 and ZKy2 I can't place. Please help, Alex ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html