如何使用 R 使用已知的协整向量执行 VECM
[英]How to perform VECM with known cointegrating vecotor using R
问题描述
could anybody help me out with this?
有人可以帮我解决这个问题吗？ I have found the cointegrating vector using DOLS, and now I want to impose that cointegrating vector in the VECM model, could I still use functions in urca or var packages?我已经使用 DOLS 找到了协整向量，现在我想在 VECM 模型中强加该协整向量，我还可以使用urca或var包中的函数吗？ Or do I have to run OLS by myself?还是我必须自己运行 OLS？ Since I would like to transfer VECM into VAR and then to VMA afterwards, I am hoping to use the functions in packages rather than write those all by myself.由于我想将 VECM 转移到 VAR 然后再转移到 VMA，我希望使用包中的函数而不是自己编写这些函数。 Thanks~~~~ Jiaheng谢谢~~~~嘉恒
1 个解决方案
解决方案1
0 2015-10-18 06:51:02
Have you tried the tsDyn package?您是否尝试过tsDyn包？ It has a function called VECM which allows you to do this.它有一个名为 VECM 的函数，它允许您执行此操作。
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