R: Transform a VECM to VAR in levels

vec2var {vars} | R Documentation

## Transform a VECM to VAR in levels

### Description

An object of formal class 'ca.jo' is transformed to a VAR in level presentation.

### Usage

    vec2var(z, r = 1)

### Arguments

`z` | An object of class 'ca.jo' generated by function `ca.jo()` in package 'urca'.
`r` | The cointegration rank (default is `r=1)`.

### Details

This function enables the user to transform a vector-error-correction model (VECM) into a level-VAR form. The rank of the matrix \bold{Π} has to be submitted, i.e. how many cointegration relationships have been determined according to the outcome of `ca.jo()`.

### Value

A list with class attribute ‘`vec2var`’ holding the following elements:

`deterministic` | The matrix of deterministic coefficients.
`A` | A list with matrix object(s) containing the coefficients for the lagged endogenous variables.
`p` | The lag-order of the estimated VAR-process.
`K` | The count of endogenous variables.
`y` | A dataframe with the endogenous variables in levels.
`obs` | An integer signifying the count of used observations.
`totobs` | An integer signifying the total number of observations, i.e including observations taken as starting values..
`call` | The `call` to `vec2var`.
`vecm` | The supplied object `z` of formal class `ca.jo`.
`datamat` | A dataframe with the used dataset.
`resid` | A matrix with the residuals from the empirical VAR(p).
`r` | Intefer, the assigned co-integration rank from the call.

### Author(s)

Bernhard Pfaff

### References

Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton.

Lütkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.

### See Also

`ca.jo`, `predict`, `irf`, `fevd`, `Phi`, `Psi`, `normality.test`, `arch.test`, `serial.test`, `logLik`, `plot`

### Examples

    library(urca)
    data(finland)
    sjf <- finland
    sjf.vecm <- ca.jo(sjf, ecdet = "none", type = "eigen", K = 2,
    spec = "longrun", season = 4)
    vec2var(sjf.vecm, r = 2)

[Package vars version 1.5-3 Index]