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By: a guest on Aug 5th, 2012  |  syntax: None  |  size: 0.85 KB  |  hits: 13  |  expires: Never
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  1. Extract normalised Eigenvectors in R
  2. test <- ca.jo(x, type='trace', ecdet='const', K=2)
  3.        
  4. gld.l2     gdx.l2
  5.     gld.l2  1.000000  1.0000000
  6.     gdx.l2 -1.488325 -0.1993057
  7.        
  8. slot(test, "Vorg")
  9.        
  10. gld.l2       gdx.l2
  11.     gld.l2 -0.01346063 -0.012380092
  12.     gdx.l2  0.02003378  0.002467422
  13.        
  14. data(denmark)
  15. sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
  16. sjd.vecm <- ca.jo(sjd, ecdet = "const", type="eigen", K=2, spec="longrun",
  17.                   season=4)
  18. sm <- summary(sjd.vecm)
  19. sm@V
  20.             LRM.l2     LRY.l2     IBO.l2     IDE.l2   constant
  21. LRM.l2    1.000000  1.0000000  1.0000000   1.000000  1.0000000
  22. LRY.l2   -1.032949 -1.3681031 -3.2266580  -1.883625 -0.6336946
  23. IBO.l2    5.206919  0.2429825  0.5382847  24.399487  1.6965828
  24. IDE.l2   -4.215879  6.8411103 -5.6473903 -14.298037 -1.8951589
  25. constant -6.059932 -4.2708474  7.8963696  -2.263224 -8.0330127
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