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\name{lttest}
\alias{lttest}
\encoding{latin1}
\title{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
\eqn{\chi^2} square with \eqn{(p-r)} degrees of freedom.
}
\usage{
lttest(z, r)
}
\arguments{
\item{z}{An object of class `ca.jo'.}
\item{r}{The count of cointegrating relationships.}
}
\details{
The count of cointegrating relations should be given as integer and
should be in the interval \eqn{1 \leq r < P}.
}
\value{
\item{lttest}{Matrix containing the value of the test statistic and its
p-value.}
}
\references{
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{ca.jo}} and \code{\link{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)
}
\author{Bernhard Pfaff}
\keyword{regression}
\concept{VECM Test Linear Trend Johansen Juselius}
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