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\name{cajo.test-class}
\docType{class}
\alias{cajo.test-class}
\encoding{latin1}
\title{Representation of class cajo.test}
\description{
This class contains the relevant information by estimating and testing
a VAR under linear restrictions on \eqn{\bold{\alpha}} and
\eqn{\bold{\beta}}.
}
\section{Slots}{
\describe{
\item{\code{Z0}:}{Object of class \code{"matrix"}: The matrix of the
differenced series.}
\item{\code{Z1}:}{Object of class \code{"matrix"}: The regressor
matrix, except for the lagged variables in levels.}
\item{\code{ZK}:}{Object of class \code{"matrix"}: The matrix of the
lagged variables in levels.}
\item{\code{ecdet}:}{Object of class \code{"character"}: Specifies
the deterministic term to be included in the cointegration
relation. This can be either "none", "const", or "trend".}
\item{\code{H}:}{Object of class \code{"ANY"}: The matrix
containing the restrictions placed upon \eqn{\bold{\beta}}.}
\item{\code{A}:}{Object of class \code{"ANY"}: The matrix
containing the restrictions placed upon \eqn{\bold{\alpha}}.}
\item{\code{B}:}{Object of class \code{"ANY"}: The matrix
orthogonal to matrix \eqn{\bold{A}}.}
\item{\code{type}:}{Object of class \code{"character"}: The test type.}
\item{\code{teststat}:}{Object of class \code{"numeric"}: The value
of the test statistic.}
\item{\code{pval}:}{Object of class \code{"vector"}: The p-value and
the degrees of freedom.}
\item{\code{lambda}:}{Object of class \code{"vector"}: The
eigenvalues of the restricted model.}
\item{\code{Vorg}:}{Object of class \code{"matrix"}: The matrix of
eigenvectors, such that \eqn{\hat V_{\dots}'(H'S_{\dots}H)\hat
V_{\dots} = I}.}
\item{\code{V}:}{Object of class \code{"matrix"}: The matrix of the
restricted eigenvectors, normalised with respect to the first variable.}
\item{\code{W}:}{Object of class \code{"matrix"}: The matrix of the
corresponding loading weights.}
\item{\code{PI}:}{Object of class \code{"matrix"}: The coefficient
matrix of the lagged variables in levels.}
\item{\code{DELTA}:}{Object of class \code{"ANY"}: The
variance/covarinace matrix of \eqn{\bold{V}}.}
\item{\code{DELTA.bb}:}{Object of class \code{"ANY"}: The
variance/covarinace matrix of the marginal factor
\eqn{\bold{B}'\bold{R}_{0t}}.}
\item{\code{DELTA.ab}:}{Object of class \code{"ANY"}: The
variance/covarinace matrix of the conditional distribution of
\eqn{\bold{A}'\bold{R}_{0t}} and \eqn{\bold{R}_{kt}}.}
\item{\code{DELTA.aa.b}:}{Object of class \code{"ANY"}: The
variance/covarinace matrix of the restricted loading matrix.}
\item{\code{GAMMA}:}{Object of class \code{"matrix"}: The
coefficient matrix of \eqn{\bold{Z1}}.}
\item{\code{test.name}:}{Object of class \code{"character"}: The
name of the test, \emph{i.e.} `Johansen-Procedure'.}
}
}
\section{Extends}{
Class \code{urca}, directly.
}
\section{Methods}{
Type \code{showMethods(classes="cajo.test")} at the R prompt for a
complete list of methods which are available for this class.
Useful methods include
\describe{
\item{\code{show}:}{test-statistic.}
\item{\code{summary}:}{like show, but p-value of test statistic,
restricted eigenvectors, loading matrix and restriction matrices
\eqn{\bold{H}} and \eqn{\bold{A}}, where applicable, added.}
}
}
\references{
Johansen, S. (1988), Statistical Analysis of Cointegration Vectors,
\emph{Journal of Economic Dynamics and Control}, \bold{12}, 231--254.
Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and
Inference on Cointegration -- with Applications to the Demand for
Money, \emph{Oxford Bulletin of Economics and Statistics}, \bold{52,
2}, 169--210.
Johansen, S. (1991), Estimation and Hypothesis Testing of
Cointegration Vectors in Gaussian Vector Autoregressive Models,
\emph{Econometrica}, \bold{Vol. 59, No. 6}, 1551--1580.
}
\seealso{
\code{\link{ablrtest}}, \code{\link{alrtest}}, \code{\link{blrtest}},
\code{\link{ca.jo}}, \code{\link{ca.jo-class}} and \code{\link{urca-class}}.
}
\author{Bernhard Pfaff}
\keyword{classes}
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