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Type 'q()' to quit R. > library(tsDyn) > > > data(zeroyld) > data(barry) > > > > > ## Test a few VECM models > vecm_OLS_l1_co <-VECM(barry, lag=1) > vecm_OLS_l3_co <-VECM(barry, lag=3, include="const") > vecm_OLS_l3_co_betaGiven<-VECM(barry, lag=3, include="const", beta=c(0.1, -0.05)) > vecm_OLS_l1_tr <-VECM(barry, lag=1, include="trend") > vecm_OLS_l1_bo <-VECM(barry, lag=1, include="both") > vecm_OLS_l1_no <-VECM(barry, lag=1, include="none") > vecm_OLS_l1_coAsExo <-VECM(barry, lag=1, include="none", exogen=rep(1, nrow(barry))) > vecm_OLS_l3_coAsExo <-VECM(barry, lag=3, include="none", exogen=rep(1, nrow(barry))) > > vecm_OLS_l0_co <-VECM(barry, lag=0) Warning message: In lineVar(data, lag, r = r, include = include, model = "VECM", : Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,... > vecm_OLS_l0_tr <-VECM(barry, lag=0, include="trend") Warning message: In lineVar(data, lag, r = r, include = include, model = "VECM", : Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,... > vecm_ML_l0_co <-VECM(barry, lag=0, include="const", estim="ML") Warning message: In lineVar(data, lag, r = r, include = include, model = "VECM", : Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,... > vecm_ML_l0_tr <-VECM(barry, lag=0, include="trend", estim="ML") Warning message: In lineVar(data, lag, r = r, include = include, model = "VECM", : Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,... > vecm_ML_l0_bo <-VECM(barry, lag=0, include="both", estim="ML") Warning message: In lineVar(data, lag, r = r, include = include, model = "VECM", : Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,... > vecm_ML_l0_no <-VECM(barry, lag=0, include="none", estim="ML") Warning message: In lineVar(data, lag, r = r, include = include, model = "VECM", : Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,... > vecm_ML_l0_LRco <-VECM(barry, lag=0, LRinclude="const", estim="ML") Warning messages: 1: In lineVar(data, lag, r = r, include = include, model = "VECM", : Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,... 2: In lineVar(data, lag, r = r, include = include, model = "VECM", : When `LRinclude` is either 'const' or 'both', `include` can only be `none`. Setting include='none'. > vecm_ML_l0_LRtr <-VECM(barry, lag=0, LRinclude="trend", estim="ML") Warning message: In lineVar(data, lag, r = r, include = include, model = "VECM", : Lag=0 not fully implemented, methods not expected to work: fevd, predict, irf,... > > vecm_OLS_l1_LRco <-VECM(barry, lag=1, LRinclude="const") Warning message: In lineVar(data, lag, r = r, include = include, model = "VECM", : When `LRinclude` is either 'const' or 'both', `include` can only be `none`. Setting include='none'. > vecm_OLS_l1_LRtr <-VECM(barry, lag=1, LRinclude="trend") > vecm_OLS_l1_LRtr_noCo <-VECM(barry, lag=1, LRinclude="trend", include="none") > vecm_OLS_l1_LRbo <-VECM(barry, lag=1, LRinclude="both") Warning message: In lineVar(data, lag, r = r, include = include, model = "VECM", : When `LRinclude` is either 'const' or 'both', `include` can only be `none`. Setting include='none'. > > vecm_ML_l1_co <-VECM(barry, lag=1, estim="ML") > vecm_ML_l3_co <-VECM(barry, lag=3, include="const", estim="ML") > vecm_ML_l3_co_betaGiven<-VECM(barry, lag=3, include="const", beta=c(-0.035,0.04), estim="ML") > vecm_ML_l1_tr <-VECM(barry, lag=1, include="trend", estim="ML") > vecm_ML_l1_bo <-VECM(barry, lag=1, include="both", estim="ML") > vecm_ML_l1_no <-VECM(barry, lag=1, include="none", estim="ML") > vecm_ML_l1_coAsExo <-VECM(barry, lag=1, include="none", exogen=rep(1, nrow(barry)), estim="ML") > vecm_ML_l3_coAsExo <-VECM(barry, lag=3, include="none", exogen=rep(1, nrow(barry)), estim="ML") > > set.seed(1234) > exoVar <- rnorm(n=nrow(barry)) > vecm_ML_l1_LRco <-VECM(barry, lag=1, LRinclude="const", estim="ML") Warning message: In lineVar(data, lag, r = r, include = include, model = "VECM", : When `LRinclude` is either 'const' or 'both', `include` can only be `none`. Setting include='none'. > vecm_ML_l1_LRc_exo <-VECM(barry, lag=1, LRinclude="const", estim="ML", exogen=exoVar) Warning message: In lineVar(data, lag, r = r, include = include, model = "VECM", : When `LRinclude` is either 'const' or 'both', `include` can only be `none`. Setting include='none'. > vecm_ML_l1_LRtr <-VECM(barry, lag=1, LRinclude="trend", estim="ML") > vecm_ML_l1_LRtr_exo <-VECM(barry, lag=1, LRinclude="trend", estim="ML", exogen=exoVar) > vecm_ML_l1_LRtr_noCo <-VECM(barry, lag=1, LRinclude="trend", include="none", estim="ML") > vecm_ML_l1_LRbo <-VECM(barry, lag=1, LRinclude="both", estim="ML") Warning message: In lineVar(data, lag, r = r, include = include, model = "VECM", : When `LRinclude` is either 'const' or 'both', `include` can only be `none`. Setting include='none'. > vecm_ML_l1_LRbo_exo <-VECM(barry, lag=1, LRinclude="both", estim="ML", exogen=exoVar) Warning message: In lineVar(data, lag, r = r, include = include, model = "VECM", : When `LRinclude` is either 'const' or 'both', `include` can only be `none`. Setting include='none'. > > vecm_all <- list( + vecm_OLS_l1_co=vecm_OLS_l1_co, + vecm_OLS_l3_co=vecm_OLS_l3_co, + vecm_OLS_l3_co_betaGiven=vecm_OLS_l3_co_betaGiven, + vecm_OLS_l1_tr=vecm_OLS_l1_tr, + vecm_OLS_l1_bo=vecm_OLS_l1_bo, + vecm_OLS_l1_no=vecm_OLS_l1_no, + vecm_OLS_l1_coAsExo=vecm_OLS_l1_coAsExo, + vecm_OLS_l3_coAsExo=vecm_OLS_l3_coAsExo, + vecm_OLS_l1_LRco=vecm_OLS_l1_LRco, + vecm_OLS_l1_LRtr=vecm_OLS_l1_LRtr, + vecm_OLS_l1_LRtr_noCo=vecm_OLS_l1_LRtr_noCo, + vecm_OLS_l1_LRbo=vecm_OLS_l1_LRbo, + + vecm_OLS_l0_co=vecm_OLS_l0_co, + vecm_OLS_l0_tr=vecm_OLS_l0_tr, + vecm_ML_l0_co=vecm_ML_l0_co, + vecm_ML_l0_tr=vecm_ML_l0_tr, + vecm_ML_l0_bo=vecm_ML_l0_bo, + vecm_ML_l0_no=vecm_ML_l0_no, + vecm_ML_l0_LRco=vecm_ML_l0_LRco, + vecm_ML_l0_LRtr=vecm_ML_l0_LRtr, + + + vecm_ML_l1_co=vecm_ML_l1_co, + vecm_ML_l3_co=vecm_ML_l3_co, + vecm_ML_l1_tr=vecm_ML_l1_tr, + vecm_ML_l1_bo=vecm_ML_l1_bo, + vecm_ML_l1_no=vecm_ML_l1_no, + vecm_ML_l1_coAsExo=vecm_ML_l1_coAsExo, + vecm_ML_l3_coAsExo=vecm_ML_l3_coAsExo, + vecm_ML_l1_LRco=vecm_ML_l1_LRco, + vecm_ML_l1_LRc_exo=vecm_ML_l1_LRc_exo, + vecm_ML_l1_LRtr=vecm_ML_l1_LRtr, + vecm_ML_l1_LRtr_exo=vecm_ML_l1_LRtr_exo, + vecm_ML_l1_LRtr_noCo=vecm_ML_l1_LRtr_noCo, + vecm_ML_l1_LRbo=vecm_ML_l1_LRbo, + vecm_ML_l1_LRbo_exo=vecm_ML_l1_LRbo_exo) > > > vecm_ML <- vecm_all[grep("ML", names(vecm_all))] > vecm_no_l0 <- vecm_all[!names(vecm_all)%in%grep("l0", names(vecm_all), value=TRUE)] > > lapply(vecm_all, print) ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.002537673 0.002202355 0.1587853 -0.003002494 0.0001286435 Equation cpiUSA 0.055320874 0.135043876 0.5426890 0.483673616 -0.0353661496 Equation cpiCAN 0.179057392 0.157670998 0.2897487 0.327296468 -0.0224027426 ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.001338343 0.003662911 0.1611940 -0.002242126 0.0003953115 Equation cpiUSA 0.029339845 0.108353256 0.8711430 0.468684873 -0.0510243367 Equation cpiCAN 0.133099298 0.100383436 0.6925224 0.272239507 -0.0494533196 dolcan -2 cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3 Equation dolcan -0.04139589 0.002012077 -0.006607018 0.0202477 -0.002153848 Equation cpiUSA -0.49404335 -0.023189036 0.071589503 -0.3943149 0.007943649 Equation cpiCAN -0.13395315 0.009117886 0.164960151 -0.6081994 0.022337674 cpiCAN -3 Equation dolcan -0.0003941692 Equation cpiUSA 0.0928680566 Equation cpiCAN 0.1324489696 ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan 0.0002124546 0.004305988 0.1598227 -0.002231881 -3.986873e-05 Equation cpiUSA 0.0094968887 0.135232014 0.8624816 0.466764351 -5.196265e-02 Equation cpiCAN 0.0341381280 0.196424879 0.6776997 0.264598773 -4.708853e-02 dolcan -2 cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3 Equation dolcan -0.04152905 0.002131204 -0.007082543 0.02006583 -0.001977308 Equation cpiUSA -0.49347974 -0.024309562 0.070436138 -0.39432206 0.006050638 Equation cpiCAN -0.12990784 0.003092470 0.167044145 -0.60570782 0.012500706 cpiCAN -3 Equation dolcan -0.0007870201 Equation cpiUSA 0.0918309823 Equation cpiCAN 0.1338417608 ECT Trend dolcan -1 cpiUSA -1 Equation dolcan -0.0007661059 5.099328e-06 0.1643691 -0.0003575695 Equation cpiUSA 0.2432039258 5.849243e-04 0.6613709 0.5454399791 Equation cpiCAN 0.3894987881 6.522822e-04 0.4535006 0.4107164124 cpiCAN -1 Equation dolcan 0.0008968084 Equation cpiUSA -0.0228245306 Equation cpiCAN -0.0038689987 ECT Intercept Trend dolcan -1 cpiUSA -1 Equation dolcan -0.0175059946 0.01161813 -4.720124e-05 0.1557842 -0.004941816 Equation cpiUSA -0.0161621128 0.18001000 -2.254151e-04 0.5283571 0.474412152 Equation cpiCAN 0.0003185219 0.27010606 -5.636367e-04 0.2539127 0.304138740 cpiCAN -1 Equation dolcan 6.895526e-05 Equation cpiUSA -3.565120e-02 Equation cpiCAN -2.311549e-02 ECT dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.002250595 0.1685594 0.001523275 0.001544155 Equation cpiUSA 0.072923859 1.1420163 0.761184412 0.051430078 Equation cpiCAN 0.199609825 0.9894956 0.651305269 0.078936528 ECT dolcan -1 cpiUSA -1 cpiCAN -1 exo_1 Equation dolcan -0.002537673 0.1587853 -0.003002494 0.0001286435 0.002202355 Equation cpiUSA 0.055320874 0.5426890 0.483673616 -0.0353661496 0.135043876 Equation cpiCAN 0.179057392 0.2897487 0.327296468 -0.0224027426 0.157670998 ECT dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2 Equation dolcan -0.001338343 0.1611940 -0.002242126 0.0003953115 -0.04139589 Equation cpiUSA 0.029339845 0.8711430 0.468684873 -0.0510243367 -0.49404335 Equation cpiCAN 0.133099298 0.6925224 0.272239507 -0.0494533196 -0.13395315 cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3 cpiCAN -3 Equation dolcan 0.002012077 -0.006607018 0.0202477 -0.002153848 -0.0003941692 Equation cpiUSA -0.023189036 0.071589503 -0.3943149 0.007943649 0.0928680566 Equation cpiCAN 0.009117886 0.164960151 -0.6081994 0.022337674 0.1324489696 exo_1 Equation dolcan 0.003662911 Equation cpiUSA 0.108353256 Equation cpiCAN 0.100383436 ECT dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.019977546 0.1757108 0.0005944517 0.001585752 Equation cpiUSA -0.009018453 1.1626553 0.7639971636 0.070510320 Equation cpiCAN 0.214396024 0.9540622 0.6689428094 0.123722329 ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.018347198 0.002753888 0.1599738 -0.004415558 -0.0006741961 Equation cpiUSA -0.001166353 0.136744939 0.5483841 0.482575944 -0.0222408144 Equation cpiCAN -0.144023002 0.167975293 0.3192321 0.312589647 0.0185499708 ECT dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.01523687 0.1715595 0.001287359 0.001150302 Equation cpiUSA 0.15327753 1.1236760 0.765755640 0.068355071 Equation cpiCAN 0.04569339 1.0259115 0.660443050 0.129836506 ECT dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.02042543 0.1755439 0.0006424809 0.001532288 Equation cpiUSA 0.01429980 1.1539268 0.7649198192 0.069831738 Equation cpiCAN 0.18825465 0.9672391 0.6672418709 0.125157214 ECT Intercept Equation dolcan -0.002780092 0.001704454 Equation cpiUSA 0.068255265 0.249423711 Equation cpiCAN 0.186186297 0.235109720 ECT Trend Equation dolcan -0.0001422602 6.872164e-06 Equation cpiUSA 0.4799565924 1.234973e-03 Equation cpiCAN 0.5732976471 1.155503e-03 ECT Intercept Equation dolcan -0.0003507433 0.002374059 Equation cpiUSA -0.0436243553 0.368504529 Equation cpiCAN -0.0823639695 0.464893314 ECT Trend Equation dolcan -0.0005484774 -2.096466e-05 Equation cpiUSA -0.0928989256 -3.607422e-03 Equation cpiCAN -0.1123697005 -4.699981e-03 ECT Intercept Trend Equation dolcan -0.001999161 -0.01016577 -0.000118541 Equation cpiUSA -0.019268819 0.18976366 -0.001429789 Equation cpiCAN -0.100888273 -0.23130939 -0.006626575 ECT Equation dolcan 0.001869335 Equation cpiUSA 0.358828407 Equation cpiCAN 0.359559513 ECT Equation dolcan -0.0008273726 Equation cpiUSA -0.1396685110 Equation cpiCAN -0.1389057526 ECT Intercept Equation dolcan -0.0003514011 0.002370631 Equation cpiUSA -0.0435803377 0.367753637 Equation cpiCAN -0.0824088721 0.463805846 ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.001130982 0.001904987 0.1590566 -0.002905063 -0.0001549718 Equation cpiUSA 0.046105240 0.145721073 0.5267517 0.480576053 -0.0352344706 Equation cpiCAN 0.146594632 0.191714766 0.2393953 0.317390143 -0.0212333484 ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.003567929 0.00996184 0.1575471 -0.002645103 -0.0003088685 Equation cpiUSA -0.039517521 0.17719382 0.8568219 0.463043537 -0.0496534599 Equation cpiCAN -0.106423797 0.28464387 0.6858825 0.255604221 -0.0345310347 dolcan -2 cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3 Equation dolcan -0.04164141 0.001907206 -0.007404306 0.0197858 -0.0023602348 Equation cpiUSA -0.49353536 -0.027543039 0.072715853 -0.3954077 0.0008115503 Equation cpiCAN -0.12863269 -0.006517491 0.180187367 -0.6062154 -0.0028046000 cpiCAN -3 Equation dolcan -0.001070038 Equation cpiUSA 0.093566410 Equation cpiCAN 0.144352463 ECT Trend dolcan -1 cpiUSA -1 Equation dolcan -0.0007704618 -3.488514e-05 0.1564255 -0.003644594 Equation cpiUSA -0.0437029488 -1.985084e-03 0.5057202 0.479055607 Equation cpiCAN -0.0768177401 -3.825069e-03 0.1408267 0.278120484 cpiCAN -1 Equation dolcan -0.0009835739 Equation cpiUSA -0.0399138144 Equation cpiCAN -0.0457768410 ECT Intercept Trend dolcan -1 cpiUSA -1 Equation dolcan 0.0002393194 -0.00626408 -7.829592e-05 0.15543978 -0.003243091 Equation cpiUSA -0.0015111788 0.22561620 3.052464e-04 0.54969245 0.477797087 Equation cpiCAN 0.0177494843 -0.36623757 -6.296457e-03 0.03197812 0.285487996 cpiCAN -1 Equation dolcan -0.0009971209 Equation cpiUSA -0.0334095397 Equation cpiCAN -0.0561606616 ECT dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan 0.002204256 0.1612798 -0.001191142 -0.0001156718 Equation cpiUSA 0.214731716 0.5016621 0.509525642 -0.0349445624 Equation cpiCAN 0.288265350 0.1538064 0.317913501 -0.0107951519 ECT dolcan -1 cpiUSA -1 cpiCAN -1 exo_1 Equation dolcan -0.001130982 0.1590566 -0.002905063 -0.0001549718 0.001904987 Equation cpiUSA 0.046105240 0.5267517 0.480576053 -0.0352344706 0.145721073 Equation cpiCAN 0.146594632 0.2393953 0.317390143 -0.0212333484 0.191714766 ECT dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2 Equation dolcan -0.003567929 0.1575471 -0.002645103 -0.0003088685 -0.04164141 Equation cpiUSA -0.039517521 0.8568219 0.463043537 -0.0496534599 -0.49353536 Equation cpiCAN -0.106423797 0.6858825 0.255604221 -0.0345310347 -0.12863269 cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3 cpiCAN -3 Equation dolcan 0.001907206 -0.007404306 0.0197858 -0.0023602348 -0.001070038 Equation cpiUSA -0.027543039 0.072715853 -0.3954077 0.0008115503 0.093566410 Equation cpiCAN -0.006517491 0.180187367 -0.6062154 -0.0028046000 0.144352463 exo_1 Equation dolcan 0.00996184 Equation cpiUSA 0.17719382 Equation cpiCAN 0.28464387 ECT dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.0006194775 0.1587288 -0.00299679 -0.0006987469 Equation cpiUSA -0.0398395940 0.5610538 0.48000626 -0.0367016097 Equation cpiCAN -0.0516009162 0.2617847 0.29171521 -0.0081038167 ECT dolcan -1 cpiUSA -1 cpiCAN -1 exo_1 Equation dolcan -0.0008964929 0.1623843 -0.003725519 -0.0007232082 0.0008011181 Equation cpiUSA -0.0533550599 0.6105160 0.472143268 -0.0360471128 0.0098870566 Equation cpiCAN -0.0682411008 0.2682708 0.290739259 -0.0073654180 0.0008344276 ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan 0.0001862485 -0.001525362 0.15676381 -0.003190914 -0.0009664377 Equation cpiUSA 0.0040952483 0.056415156 0.50949599 0.477512123 -0.0330553243 Equation cpiCAN 0.0292851011 -0.411104860 0.03045308 0.287169175 -0.0573042137 ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan 8.032743e-05 -0.002211648 0.16035291 -0.003741356 -0.001026514 Equation cpiUSA 1.526143e-03 0.053418502 0.54276393 0.472517536 -0.033350523 Equation cpiCAN 1.002912e-02 -0.389244734 0.04253324 0.284469244 -0.056535140 exo_1 Equation dolcan 0.0007836666 Equation cpiUSA 0.0070544860 Equation cpiCAN 0.0017206267 ECT dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.000727143 0.1568527 -0.00338676 -0.001057004 Equation cpiUSA -0.041425715 0.5224463 0.49024939 -0.044905637 Equation cpiCAN -0.060470225 0.1070294 0.25988640 -0.037670697 ECT dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.0008871317 0.1568747 -0.003435533 -0.001059806 Equation cpiUSA -0.0503421884 0.5261923 0.488556527 -0.044613218 Equation cpiCAN -0.0729350525 0.1194230 0.260432949 -0.035987363 ECT dolcan -1 cpiUSA -1 cpiCAN -1 exo_1 Equation dolcan -0.001179716 0.1605561 -0.004158054 -0.00109032 0.0008116696 Equation cpiUSA -0.062648158 0.5734187 0.480592492 -0.04406994 0.0095401329 Equation cpiCAN -0.089501483 0.1319369 0.259164681 -0.03476411 0.0015991179 $vecm_OLS_l1_co ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.002537673 0.002202355 0.1587853 -0.003002494 0.0001286435 Equation cpiUSA 0.055320874 0.135043876 0.5426890 0.483673616 -0.0353661496 Equation cpiCAN 0.179057392 0.157670998 0.2897487 0.327296468 -0.0224027426 $vecm_OLS_l3_co ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.001338343 0.003662911 0.1611940 -0.002242126 0.0003953115 Equation cpiUSA 0.029339845 0.108353256 0.8711430 0.468684873 -0.0510243367 Equation cpiCAN 0.133099298 0.100383436 0.6925224 0.272239507 -0.0494533196 dolcan -2 cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3 Equation dolcan -0.04139589 0.002012077 -0.006607018 0.0202477 -0.002153848 Equation cpiUSA -0.49404335 -0.023189036 0.071589503 -0.3943149 0.007943649 Equation cpiCAN -0.13395315 0.009117886 0.164960151 -0.6081994 0.022337674 cpiCAN -3 Equation dolcan -0.0003941692 Equation cpiUSA 0.0928680566 Equation cpiCAN 0.1324489696 $vecm_OLS_l3_co_betaGiven ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan 0.0002124546 0.004305988 0.1598227 -0.002231881 -3.986873e-05 Equation cpiUSA 0.0094968887 0.135232014 0.8624816 0.466764351 -5.196265e-02 Equation cpiCAN 0.0341381280 0.196424879 0.6776997 0.264598773 -4.708853e-02 dolcan -2 cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3 Equation dolcan -0.04152905 0.002131204 -0.007082543 0.02006583 -0.001977308 Equation cpiUSA -0.49347974 -0.024309562 0.070436138 -0.39432206 0.006050638 Equation cpiCAN -0.12990784 0.003092470 0.167044145 -0.60570782 0.012500706 cpiCAN -3 Equation dolcan -0.0007870201 Equation cpiUSA 0.0918309823 Equation cpiCAN 0.1338417608 $vecm_OLS_l1_tr ECT Trend dolcan -1 cpiUSA -1 Equation dolcan -0.0007661059 5.099328e-06 0.1643691 -0.0003575695 Equation cpiUSA 0.2432039258 5.849243e-04 0.6613709 0.5454399791 Equation cpiCAN 0.3894987881 6.522822e-04 0.4535006 0.4107164124 cpiCAN -1 Equation dolcan 0.0008968084 Equation cpiUSA -0.0228245306 Equation cpiCAN -0.0038689987 $vecm_OLS_l1_bo ECT Intercept Trend dolcan -1 cpiUSA -1 Equation dolcan -0.0175059946 0.01161813 -4.720124e-05 0.1557842 -0.004941816 Equation cpiUSA -0.0161621128 0.18001000 -2.254151e-04 0.5283571 0.474412152 Equation cpiCAN 0.0003185219 0.27010606 -5.636367e-04 0.2539127 0.304138740 cpiCAN -1 Equation dolcan 6.895526e-05 Equation cpiUSA -3.565120e-02 Equation cpiCAN -2.311549e-02 $vecm_OLS_l1_no ECT dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.002250595 0.1685594 0.001523275 0.001544155 Equation cpiUSA 0.072923859 1.1420163 0.761184412 0.051430078 Equation cpiCAN 0.199609825 0.9894956 0.651305269 0.078936528 $vecm_OLS_l1_coAsExo ECT dolcan -1 cpiUSA -1 cpiCAN -1 exo_1 Equation dolcan -0.002537673 0.1587853 -0.003002494 0.0001286435 0.002202355 Equation cpiUSA 0.055320874 0.5426890 0.483673616 -0.0353661496 0.135043876 Equation cpiCAN 0.179057392 0.2897487 0.327296468 -0.0224027426 0.157670998 $vecm_OLS_l3_coAsExo ECT dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2 Equation dolcan -0.001338343 0.1611940 -0.002242126 0.0003953115 -0.04139589 Equation cpiUSA 0.029339845 0.8711430 0.468684873 -0.0510243367 -0.49404335 Equation cpiCAN 0.133099298 0.6925224 0.272239507 -0.0494533196 -0.13395315 cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3 cpiCAN -3 Equation dolcan 0.002012077 -0.006607018 0.0202477 -0.002153848 -0.0003941692 Equation cpiUSA -0.023189036 0.071589503 -0.3943149 0.007943649 0.0928680566 Equation cpiCAN 0.009117886 0.164960151 -0.6081994 0.022337674 0.1324489696 exo_1 Equation dolcan 0.003662911 Equation cpiUSA 0.108353256 Equation cpiCAN 0.100383436 $vecm_OLS_l1_LRco ECT dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.019977546 0.1757108 0.0005944517 0.001585752 Equation cpiUSA -0.009018453 1.1626553 0.7639971636 0.070510320 Equation cpiCAN 0.214396024 0.9540622 0.6689428094 0.123722329 $vecm_OLS_l1_LRtr ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.018347198 0.002753888 0.1599738 -0.004415558 -0.0006741961 Equation cpiUSA -0.001166353 0.136744939 0.5483841 0.482575944 -0.0222408144 Equation cpiCAN -0.144023002 0.167975293 0.3192321 0.312589647 0.0185499708 $vecm_OLS_l1_LRtr_noCo ECT dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.01523687 0.1715595 0.001287359 0.001150302 Equation cpiUSA 0.15327753 1.1236760 0.765755640 0.068355071 Equation cpiCAN 0.04569339 1.0259115 0.660443050 0.129836506 $vecm_OLS_l1_LRbo ECT dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.02042543 0.1755439 0.0006424809 0.001532288 Equation cpiUSA 0.01429980 1.1539268 0.7649198192 0.069831738 Equation cpiCAN 0.18825465 0.9672391 0.6672418709 0.125157214 $vecm_OLS_l0_co ECT Intercept Equation dolcan -0.002780092 0.001704454 Equation cpiUSA 0.068255265 0.249423711 Equation cpiCAN 0.186186297 0.235109720 $vecm_OLS_l0_tr ECT Trend Equation dolcan -0.0001422602 6.872164e-06 Equation cpiUSA 0.4799565924 1.234973e-03 Equation cpiCAN 0.5732976471 1.155503e-03 $vecm_ML_l0_co ECT Intercept Equation dolcan -0.0003507433 0.002374059 Equation cpiUSA -0.0436243553 0.368504529 Equation cpiCAN -0.0823639695 0.464893314 $vecm_ML_l0_tr ECT Trend Equation dolcan -0.0005484774 -2.096466e-05 Equation cpiUSA -0.0928989256 -3.607422e-03 Equation cpiCAN -0.1123697005 -4.699981e-03 $vecm_ML_l0_bo ECT Intercept Trend Equation dolcan -0.001999161 -0.01016577 -0.000118541 Equation cpiUSA -0.019268819 0.18976366 -0.001429789 Equation cpiCAN -0.100888273 -0.23130939 -0.006626575 $vecm_ML_l0_no ECT Equation dolcan 0.001869335 Equation cpiUSA 0.358828407 Equation cpiCAN 0.359559513 $vecm_ML_l0_LRco ECT Equation dolcan -0.0008273726 Equation cpiUSA -0.1396685110 Equation cpiCAN -0.1389057526 $vecm_ML_l0_LRtr ECT Intercept Equation dolcan -0.0003514011 0.002370631 Equation cpiUSA -0.0435803377 0.367753637 Equation cpiCAN -0.0824088721 0.463805846 $vecm_ML_l1_co ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.001130982 0.001904987 0.1590566 -0.002905063 -0.0001549718 Equation cpiUSA 0.046105240 0.145721073 0.5267517 0.480576053 -0.0352344706 Equation cpiCAN 0.146594632 0.191714766 0.2393953 0.317390143 -0.0212333484 $vecm_ML_l3_co ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.003567929 0.00996184 0.1575471 -0.002645103 -0.0003088685 Equation cpiUSA -0.039517521 0.17719382 0.8568219 0.463043537 -0.0496534599 Equation cpiCAN -0.106423797 0.28464387 0.6858825 0.255604221 -0.0345310347 dolcan -2 cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3 Equation dolcan -0.04164141 0.001907206 -0.007404306 0.0197858 -0.0023602348 Equation cpiUSA -0.49353536 -0.027543039 0.072715853 -0.3954077 0.0008115503 Equation cpiCAN -0.12863269 -0.006517491 0.180187367 -0.6062154 -0.0028046000 cpiCAN -3 Equation dolcan -0.001070038 Equation cpiUSA 0.093566410 Equation cpiCAN 0.144352463 $vecm_ML_l1_tr ECT Trend dolcan -1 cpiUSA -1 Equation dolcan -0.0007704618 -3.488514e-05 0.1564255 -0.003644594 Equation cpiUSA -0.0437029488 -1.985084e-03 0.5057202 0.479055607 Equation cpiCAN -0.0768177401 -3.825069e-03 0.1408267 0.278120484 cpiCAN -1 Equation dolcan -0.0009835739 Equation cpiUSA -0.0399138144 Equation cpiCAN -0.0457768410 $vecm_ML_l1_bo ECT Intercept Trend dolcan -1 cpiUSA -1 Equation dolcan 0.0002393194 -0.00626408 -7.829592e-05 0.15543978 -0.003243091 Equation cpiUSA -0.0015111788 0.22561620 3.052464e-04 0.54969245 0.477797087 Equation cpiCAN 0.0177494843 -0.36623757 -6.296457e-03 0.03197812 0.285487996 cpiCAN -1 Equation dolcan -0.0009971209 Equation cpiUSA -0.0334095397 Equation cpiCAN -0.0561606616 $vecm_ML_l1_no ECT dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan 0.002204256 0.1612798 -0.001191142 -0.0001156718 Equation cpiUSA 0.214731716 0.5016621 0.509525642 -0.0349445624 Equation cpiCAN 0.288265350 0.1538064 0.317913501 -0.0107951519 $vecm_ML_l1_coAsExo ECT dolcan -1 cpiUSA -1 cpiCAN -1 exo_1 Equation dolcan -0.001130982 0.1590566 -0.002905063 -0.0001549718 0.001904987 Equation cpiUSA 0.046105240 0.5267517 0.480576053 -0.0352344706 0.145721073 Equation cpiCAN 0.146594632 0.2393953 0.317390143 -0.0212333484 0.191714766 $vecm_ML_l3_coAsExo ECT dolcan -1 cpiUSA -1 cpiCAN -1 dolcan -2 Equation dolcan -0.003567929 0.1575471 -0.002645103 -0.0003088685 -0.04164141 Equation cpiUSA -0.039517521 0.8568219 0.463043537 -0.0496534599 -0.49353536 Equation cpiCAN -0.106423797 0.6858825 0.255604221 -0.0345310347 -0.12863269 cpiUSA -2 cpiCAN -2 dolcan -3 cpiUSA -3 cpiCAN -3 Equation dolcan 0.001907206 -0.007404306 0.0197858 -0.0023602348 -0.001070038 Equation cpiUSA -0.027543039 0.072715853 -0.3954077 0.0008115503 0.093566410 Equation cpiCAN -0.006517491 0.180187367 -0.6062154 -0.0028046000 0.144352463 exo_1 Equation dolcan 0.00996184 Equation cpiUSA 0.17719382 Equation cpiCAN 0.28464387 $vecm_ML_l1_LRco ECT dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.0006194775 0.1587288 -0.00299679 -0.0006987469 Equation cpiUSA -0.0398395940 0.5610538 0.48000626 -0.0367016097 Equation cpiCAN -0.0516009162 0.2617847 0.29171521 -0.0081038167 $vecm_ML_l1_LRc_exo ECT dolcan -1 cpiUSA -1 cpiCAN -1 exo_1 Equation dolcan -0.0008964929 0.1623843 -0.003725519 -0.0007232082 0.0008011181 Equation cpiUSA -0.0533550599 0.6105160 0.472143268 -0.0360471128 0.0098870566 Equation cpiCAN -0.0682411008 0.2682708 0.290739259 -0.0073654180 0.0008344276 $vecm_ML_l1_LRtr ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan 0.0001862485 -0.001525362 0.15676381 -0.003190914 -0.0009664377 Equation cpiUSA 0.0040952483 0.056415156 0.50949599 0.477512123 -0.0330553243 Equation cpiCAN 0.0292851011 -0.411104860 0.03045308 0.287169175 -0.0573042137 $vecm_ML_l1_LRtr_exo ECT Intercept dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan 8.032743e-05 -0.002211648 0.16035291 -0.003741356 -0.001026514 Equation cpiUSA 1.526143e-03 0.053418502 0.54276393 0.472517536 -0.033350523 Equation cpiCAN 1.002912e-02 -0.389244734 0.04253324 0.284469244 -0.056535140 exo_1 Equation dolcan 0.0007836666 Equation cpiUSA 0.0070544860 Equation cpiCAN 0.0017206267 $vecm_ML_l1_LRtr_noCo ECT dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.000727143 0.1568527 -0.00338676 -0.001057004 Equation cpiUSA -0.041425715 0.5224463 0.49024939 -0.044905637 Equation cpiCAN -0.060470225 0.1070294 0.25988640 -0.037670697 $vecm_ML_l1_LRbo ECT dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan -0.0008871317 0.1568747 -0.003435533 -0.001059806 Equation cpiUSA -0.0503421884 0.5261923 0.488556527 -0.044613218 Equation cpiCAN -0.0729350525 0.1194230 0.260432949 -0.035987363 $vecm_ML_l1_LRbo_exo ECT dolcan -1 cpiUSA -1 cpiCAN -1 exo_1 Equation dolcan -0.001179716 0.1605561 -0.004158054 -0.00109032 0.0008116696 Equation cpiUSA -0.062648158 0.5734187 0.480592492 -0.04406994 0.0095401329 Equation cpiCAN -0.089501483 0.1319369 0.259164681 -0.03476411 0.0015991179 > lapply(vecm_all, summary) $vecm_OLS_l1_co ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 15 AIC -4919.687 BIC -4855.52 SSR 26.25525 Cointegrating vector (estimated by 2OLS): dolcan cpiUSA cpiCAN r1 1 -0.05710189 0.0410196 ECT Intercept dolcan -1 Equation dolcan -0.0025(0.0027) 0.0022(0.0013). 0.1588(0.0554)** Equation cpiUSA 0.0553(0.0338) 0.1350(0.0162)*** 0.5427(0.6817) Equation cpiCAN 0.1791(0.0514)*** 0.1577(0.0247)*** 0.2897(1.0364) cpiUSA -1 cpiCAN -1 Equation dolcan -0.0030(0.0043) 0.0001(0.0031) Equation cpiUSA 0.4837(0.0530)*** -0.0354(0.0386) Equation cpiCAN 0.3273(0.0806)*** -0.0224(0.0588) $vecm_OLS_l3_co ############# ###Model VECM ############# Full sample size: 324 End sample size: 320 Number of variables: 3 Number of estimated slope parameters 33 AIC -4877.297 BIC -4745.405 SSR 24.94378 Cointegrating vector (estimated by 2OLS): dolcan cpiUSA cpiCAN r1 1 -0.05710189 0.0410196 ECT Intercept dolcan -1 Equation dolcan -0.0013(0.0029) 0.0037(0.0017)* 0.1612(0.0569)** Equation cpiUSA 0.0293(0.0351) 0.1084(0.0201)*** 0.8711(0.6925) Equation cpiCAN 0.1331(0.0528)* 0.1004(0.0303)** 0.6925(1.0435) cpiUSA -1 cpiCAN -1 dolcan -2 Equation dolcan -0.0022(0.0048) 0.0004(0.0032) -0.0414(0.0573) Equation cpiUSA 0.4687(0.0584)*** -0.0510(0.0390) -0.4940(0.6980) Equation cpiCAN 0.2722(0.0880)** -0.0495(0.0588) -0.1340(1.0518) cpiUSA -2 cpiCAN -2 dolcan -3 Equation dolcan 0.0020(0.0053) -0.0066(0.0032)* 0.0202(0.0566) Equation cpiUSA -0.0232(0.0643) 0.0716(0.0386). -0.3943(0.6890) Equation cpiCAN 0.0091(0.0968) 0.1650(0.0582)** -0.6082(1.0383) cpiUSA -3 cpiCAN -3 Equation dolcan -0.0022(0.0049) -0.0004(0.0032) Equation cpiUSA 0.0079(0.0594) 0.0929(0.0393)* Equation cpiCAN 0.0223(0.0896) 0.1324(0.0593)* $vecm_OLS_l3_co_betaGiven ############# ###Model VECM ############# Full sample size: 324 End sample size: 320 Number of variables: 3 Number of estimated slope parameters 33 AIC -4877.98 BIC -4746.089 SSR 24.90243 Cointegrating vector (fixed by user): dolcan cpiUSA cpiCAN r1 1 -0.1 0.05 ECT Intercept dolcan -1 Equation dolcan 0.0002(0.0007) 0.0043(0.0026) 0.1598(0.0569)** Equation cpiUSA 0.0095(0.0086) 0.1352(0.0321)*** 0.8625(0.6920) Equation cpiCAN 0.0341(0.0130)** 0.1964(0.0483)*** 0.6777(1.0428) cpiUSA -1 cpiCAN -1 dolcan -2 Equation dolcan -0.0022(0.0048) -4e-05(0.0032) -0.0415(0.0573) Equation cpiUSA 0.4668(0.0584)*** -0.0520(0.0388) -0.4935(0.6974) Equation cpiCAN 0.2646(0.0880)** -0.0471(0.0585) -0.1299(1.0509) cpiUSA -2 cpiCAN -2 dolcan -3 Equation dolcan 0.0021(0.0053) -0.0071(0.0032)* 0.0201(0.0566) Equation cpiUSA -0.0243(0.0642) 0.0704(0.0384). -0.3943(0.6885) Equation cpiCAN 0.0031(0.0967) 0.1670(0.0579)** -0.6057(1.0374) cpiUSA -3 cpiCAN -3 Equation dolcan -0.0020(0.0049) -0.0008(0.0032) Equation cpiUSA 0.0061(0.0593) 0.0918(0.0392)* Equation cpiCAN 0.0125(0.0893) 0.1338(0.0591)* $vecm_OLS_l1_tr ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 15 AIC -4900.538 BIC -4836.371 SSR 27.1164 Cointegrating vector (estimated by 2OLS): dolcan cpiUSA cpiCAN r1 1 -0.05710189 0.0410196 ECT Trend dolcan -1 Equation dolcan -0.0008(0.0033) 5.1e-06(6.3e-06) 0.1644(0.0555)** Equation cpiUSA 0.2432(0.0413)*** 0.0006(7.8e-05)*** 0.6614(0.6933) Equation cpiCAN 0.3895(0.0626)*** 0.0007(0.0001)*** 0.4535(1.0511) cpiUSA -1 cpiCAN -1 Equation dolcan -0.0004(0.0041) 0.0009(0.0031) Equation cpiUSA 0.5454(0.0510)*** -0.0228(0.0392) Equation cpiCAN 0.4107(0.0774)*** -0.0039(0.0594) $vecm_OLS_l1_bo ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 18 AIC -4922.766 BIC -4847.274 SSR 26.09641 Cointegrating vector (estimated by 2OLS): dolcan cpiUSA cpiCAN r1 1 -0.05710189 0.0410196 ECT Intercept Trend Equation dolcan -0.0175(0.0068)** 0.0116(0.0041)** -4.7e-05(1.9e-05)* Equation cpiUSA -0.0162(0.0837) 0.1800(0.0508)*** -0.0002(0.0002) Equation cpiCAN 0.0003(0.1269) 0.2701(0.0771)*** -0.0006(0.0004) dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan 0.1558(0.0550)** -0.0049(0.0044) 6.9e-05(0.0031) Equation cpiUSA 0.5284(0.6820) 0.4744(0.0540)*** -0.0357(0.0387) Equation cpiCAN 0.2539(1.0345) 0.3041(0.0819)*** -0.0231(0.0586) $vecm_OLS_l1_no ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 12 AIC -4844.226 BIC -4791.382 SSR 30.34056 Cointegrating vector (estimated by 2OLS): dolcan cpiUSA cpiCAN r1 1 -0.05710189 0.0410196 ECT dolcan -1 cpiUSA -1 Equation dolcan -0.0023(0.0028) 0.1686(0.0553)** 0.0015(0.0034) Equation cpiUSA 0.0729(0.0372). 1.1420(0.7471) 0.7612(0.0455)*** Equation cpiCAN 0.1996(0.0544)*** 0.9895(1.0933) 0.6513(0.0665)*** cpiCAN -1 Equation dolcan 0.0015(0.0030) Equation cpiUSA 0.0514(0.0410) Equation cpiCAN 0.0789(0.0600) $vecm_OLS_l1_coAsExo ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 15 AIC -4919.687 BIC -4855.52 SSR 26.25525 Cointegrating vector (estimated by 2OLS): dolcan cpiUSA cpiCAN r1 1 -0.05710189 0.0410196 ECT dolcan -1 cpiUSA -1 Equation dolcan -0.0025(0.0027) 0.1588(0.0554)** -0.0030(0.0043) Equation cpiUSA 0.0553(0.0338) 0.5427(0.6817) 0.4837(0.0530)*** Equation cpiCAN 0.1791(0.0514)*** 0.2897(1.0364) 0.3273(0.0806)*** cpiCAN -1 exo_1 Equation dolcan 0.0001(0.0031) 0.0022(0.0013). Equation cpiUSA -0.0354(0.0386) 0.1350(0.0162)*** Equation cpiCAN -0.0224(0.0588) 0.1577(0.0247)*** $vecm_OLS_l3_coAsExo ############# ###Model VECM ############# Full sample size: 324 End sample size: 320 Number of variables: 3 Number of estimated slope parameters 33 AIC -4877.297 BIC -4745.405 SSR 24.94378 Cointegrating vector (estimated by 2OLS): dolcan cpiUSA cpiCAN r1 1 -0.05710189 0.0410196 ECT dolcan -1 cpiUSA -1 Equation dolcan -0.0013(0.0029) 0.1612(0.0569)** -0.0022(0.0048) Equation cpiUSA 0.0293(0.0351) 0.8711(0.6925) 0.4687(0.0584)*** Equation cpiCAN 0.1331(0.0528)* 0.6925(1.0435) 0.2722(0.0880)** cpiCAN -1 dolcan -2 cpiUSA -2 Equation dolcan 0.0004(0.0032) -0.0414(0.0573) 0.0020(0.0053) Equation cpiUSA -0.0510(0.0390) -0.4940(0.6980) -0.0232(0.0643) Equation cpiCAN -0.0495(0.0588) -0.1340(1.0518) 0.0091(0.0968) cpiCAN -2 dolcan -3 cpiUSA -3 Equation dolcan -0.0066(0.0032)* 0.0202(0.0566) -0.0022(0.0049) Equation cpiUSA 0.0716(0.0386). -0.3943(0.6890) 0.0079(0.0594) Equation cpiCAN 0.1650(0.0582)** -0.6082(1.0383) 0.0223(0.0896) cpiCAN -3 exo_1 Equation dolcan -0.0004(0.0032) 0.0037(0.0017)* Equation cpiUSA 0.0929(0.0393)* 0.1084(0.0201)*** Equation cpiCAN 0.1324(0.0593)* 0.1004(0.0303)** $vecm_OLS_l1_LRco ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 12 AIC -4836.039 BIC -4783.195 SSR 31.24289 Cointegrating vector (estimated by 2OLS): dolcan cpiUSA cpiCAN const r1 1 -0.01481749 0.009676475 -0.8645183 ECT dolcan -1 cpiUSA -1 Equation dolcan -0.0200(0.0093)* 0.1757(0.0550)** 0.0006(0.0034) Equation cpiUSA -0.0090(0.1274) 1.1627(0.7532) 0.7640(0.0460)*** Equation cpiCAN 0.2144(0.1889) 0.9541(1.1162) 0.6689(0.0682)*** cpiCAN -1 Equation dolcan 0.0016(0.0029) Equation cpiUSA 0.0705(0.0403). Equation cpiCAN 0.1237(0.0597)* $vecm_OLS_l1_LRtr ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 15 AIC -4913.714 BIC -4849.547 SSR 26.96383 Cointegrating vector (estimated by 2OLS): dolcan cpiUSA cpiCAN trend r1 1 -0.05387941 0.01945208 0.007610433 ECT Intercept dolcan -1 Equation dolcan -0.0183(0.0077)* 0.0028(0.0013)* 0.1600(0.0550)** Equation cpiUSA -0.0012(0.0953) 0.1367(0.0166)*** 0.5484(0.6846) Equation cpiCAN -0.1440(0.1468) 0.1680(0.0256)*** 0.3192(1.0545) cpiUSA -1 cpiCAN -1 Equation dolcan -0.0044(0.0043) -0.0007(0.0031) Equation cpiUSA 0.4826(0.0538)*** -0.0222(0.0380) Equation cpiCAN 0.3126(0.0829)*** 0.0185(0.0585) $vecm_OLS_l1_LRtr_noCo ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 12 AIC -4836.533 BIC -4783.69 SSR 31.25622 Cointegrating vector (estimated by 2OLS): dolcan cpiUSA cpiCAN trend r1 1 -0.05387941 0.01945208 0.007610433 ECT dolcan -1 cpiUSA -1 Equation dolcan -0.0152(0.0075)* 0.1716(0.0550)** 0.0013(0.0033) Equation cpiUSA 0.1533(0.1028) 1.1237(0.7493) 0.7658(0.0456)*** Equation cpiCAN 0.0457(0.1532) 1.0259(1.1165) 0.6604(0.0679)*** cpiCAN -1 Equation dolcan 0.0012(0.0029) Equation cpiUSA 0.0684(0.0400). Equation cpiCAN 0.1298(0.0596)* $vecm_OLS_l1_LRbo ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 12 AIC -4835.724 BIC -4782.88 SSR 31.26287 Cointegrating vector (estimated by 2OLS): dolcan cpiUSA cpiCAN const trend r1 1 -0.01903992 0.01062753 -0.7707046 0.000864578 ECT dolcan -1 cpiUSA -1 Equation dolcan -0.0204(0.0093)* 0.1755(0.0550)** 0.0006(0.0034) Equation cpiUSA 0.0143(0.1278) 1.1539(0.7530) 0.7649(0.0460)*** Equation cpiCAN 0.1883(0.1895) 0.9672(1.1165) 0.6672(0.0682)*** cpiCAN -1 Equation dolcan 0.0015(0.0029) Equation cpiUSA 0.0698(0.0403). Equation cpiCAN 0.1252(0.0597)* $vecm_OLS_l0_co ############# ###Model VECM ############# Full sample size: 324 End sample size: 323 Number of variables: 3 Number of estimated slope parameters 6 AIC -4868.234 BIC -4845.568 SSR 29.55513 Cointegrating vector (estimated by 2OLS): dolcan cpiUSA cpiCAN r1 1 -0.05710189 0.0410196 ECT Intercept Equation dolcan -0.0028(0.0027) 0.0017(0.0008)* Equation cpiUSA 0.0683(0.0370). 0.2494(0.0104)*** Equation cpiCAN 0.1862(0.0511)*** 0.2351(0.0144)*** $vecm_OLS_l0_tr ############# ###Model VECM ############# Full sample size: 324 End sample size: 323 Number of variables: 3 Number of estimated slope parameters 6 AIC -4815.132 BIC -4792.466 SSR 32.5443 Cointegrating vector (estimated by 2OLS): dolcan cpiUSA cpiCAN r1 1 -0.05710189 0.0410196 ECT Trend Equation dolcan -0.0001(0.0026) 6.9e-06(3.9e-06). Equation cpiUSA 0.4800(0.0382)*** 0.0012(5.7e-05)*** Equation cpiCAN 0.5733(0.0512)*** 0.0012(7.7e-05)*** $vecm_ML_l0_co ############# ###Model VECM ############# Full sample size: 324 End sample size: 323 Number of variables: 3 Number of estimated slope parameters 6 AIC -4871.497 BIC -4848.832 SSR 29.32748 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN r1 1 -0.02123402 0.04020793 ECT Intercept Equation dolcan -0.0004(0.0011) 0.0024(0.0030) Equation cpiUSA -0.0436(0.0155)** 0.3685(0.0413)*** Equation cpiCAN -0.0824(0.0214)*** 0.4649(0.0572)*** $vecm_ML_l0_tr ############# ###Model VECM ############# Full sample size: 324 End sample size: 323 Number of variables: 3 Number of estimated slope parameters 6 AIC -4881.092 BIC -4858.426 SSR 28.5781 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN r1 1 -0.2189798 0.07550665 ECT Trend Equation dolcan -0.0005(0.0004) -2.1e-05(2.3e-05) Equation cpiUSA -0.0929(0.0061)*** -0.0036(0.0003)*** Equation cpiCAN -0.1124(0.0083)*** -0.0047(0.0004)*** $vecm_ML_l0_bo ############# ###Model VECM ############# Full sample size: 324 End sample size: 323 Number of variables: 3 Number of estimated slope parameters 9 AIC -4878.988 BIC -4837.434 SSR 28.38918 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN r1 1 -0.3432729 0.1102598 ECT Intercept Trend Equation dolcan -0.0020(0.0015) -0.0102(0.0089) -0.0001(9.1e-05) Equation cpiUSA -0.0193(0.0207) 0.1898(0.1213) -0.0014(0.0012) Equation cpiCAN -0.1009(0.0280)*** -0.2313(0.1642) -0.0066(0.0017)*** $vecm_ML_l0_no ############# ###Model VECM ############# Full sample size: 324 End sample size: 323 Number of variables: 3 Number of estimated slope parameters 3 AIC -4852.03 BIC -4833.141 SSR 30.26036 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN r1 1 -0.007705743 0.0002734381 ECT Equation dolcan 0.0019(0.0010). Equation cpiUSA 0.3588(0.0142)*** Equation cpiCAN 0.3596(0.0195)*** $vecm_ML_l0_LRco ############# ###Model VECM ############# Full sample size: 324 End sample size: 323 Number of variables: 3 Number of estimated slope parameters 3 AIC -4870.783 BIC -4851.895 SSR 29.49155 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN const r1 1 -0.02193294 0.02567844 -3.325051 ECT Equation dolcan -0.0008(0.0004)* Equation cpiUSA -0.1397(0.0053)*** Equation cpiCAN -0.1389(0.0074)*** $vecm_ML_l0_LRtr ############# ###Model VECM ############# Full sample size: 324 End sample size: 323 Number of variables: 3 Number of estimated slope parameters 6 AIC -4871.557 BIC -4848.891 SSR 29.32353 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN trend r1 1 -0.02200917 0.04041511 0.0001604596 ECT Intercept Equation dolcan -0.0004(0.0011) 0.0024(0.0030) Equation cpiUSA -0.0436(0.0154)** 0.3678(0.0410)*** Equation cpiCAN -0.0824(0.0214)*** 0.4638(0.0569)*** $vecm_ML_l1_co ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 15 AIC -4920.277 BIC -4856.109 SSR 26.19341 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN r1 1 -0.03933803 0.0205451 ECT Intercept dolcan -1 Equation dolcan -0.0011(0.0022) 0.0019(0.0014) 0.1591(0.0555)** Equation cpiUSA 0.0461(0.0267). 0.1457(0.0170)*** 0.5268(0.6815) Equation cpiCAN 0.1466(0.0405)*** 0.1917(0.0258)*** 0.2394(1.0351) cpiUSA -1 cpiCAN -1 Equation dolcan -0.0029(0.0043) -0.0002(0.0031) Equation cpiUSA 0.4806(0.0530)*** -0.0352(0.0385) Equation cpiCAN 0.3174(0.0805)*** -0.0212(0.0585) $vecm_ML_l3_co ############# ###Model VECM ############# Full sample size: 324 End sample size: 320 Number of variables: 3 Number of estimated slope parameters 33 AIC -4878.572 BIC -4746.681 SSR 24.99064 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN r1 1 -0.03537088 0.04022154 ECT Intercept dolcan -1 Equation dolcan -0.0036(0.0026) 0.0100(0.0048)* 0.1575(0.0567)** Equation cpiUSA -0.0395(0.0312) 0.1772(0.0584)** 0.8568(0.6916) Equation cpiCAN -0.1064(0.0472)* 0.2846(0.0883)** 0.6859(1.0458) cpiUSA -1 cpiCAN -1 dolcan -2 Equation dolcan -0.0026(0.0048) -0.0003(0.0032) -0.0416(0.0572) Equation cpiUSA 0.4630(0.0585)*** -0.0497(0.0385) -0.4935(0.6970) Equation cpiCAN 0.2556(0.0884)** -0.0345(0.0582) -0.1286(1.0539) cpiUSA -2 cpiCAN -2 dolcan -3 Equation dolcan 0.0019(0.0053) -0.0074(0.0031)* 0.0198(0.0564) Equation cpiUSA -0.0275(0.0641) 0.0727(0.0380). -0.3954(0.6880) Equation cpiCAN -0.0065(0.0970) 0.1802(0.0575)** -0.6062(1.0403) cpiUSA -3 cpiCAN -3 Equation dolcan -0.0024(0.0049) -0.0011(0.0032) Equation cpiUSA 0.0008(0.0593) 0.0936(0.0389)* Equation cpiCAN -0.0028(0.0897) 0.1444(0.0589)* $vecm_ML_l1_tr ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 15 AIC -4926.979 BIC -4862.811 SSR 25.73611 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN r1 1 -0.2253883 0.06081836 ECT Trend dolcan -1 Equation dolcan -0.0008(0.0005) -3.5e-05(2.9e-05) 0.1564(0.0555)** Equation cpiUSA -0.0437(0.0065)*** -0.0020(0.0004)*** 0.5057(0.6853) Equation cpiCAN -0.0768(0.0098)*** -0.0038(0.0005)*** 0.1408(1.0204) cpiUSA -1 cpiCAN -1 Equation dolcan -0.0036(0.0043) -0.0010(0.0032) Equation cpiUSA 0.4791(0.0536)*** -0.0399(0.0391) Equation cpiCAN 0.2781(0.0799)*** -0.0458(0.0582) $vecm_ML_l1_bo ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 18 AIC -4930.288 BIC -4854.797 SSR 25.47038 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN r1 1 1.650717 -0.428511 ECT Intercept Trend Equation dolcan 0.0002(0.0003) -0.0063(0.0106) -7.8e-05(9.4e-05) Equation cpiUSA -0.0015(0.0036) 0.2256(0.1297). 0.0003(0.0012) Equation cpiCAN 0.0177(0.0053)*** -0.3662(0.1934). -0.0063(0.0017)*** dolcan -1 cpiUSA -1 cpiCAN -1 Equation dolcan 0.1554(0.0556)** -0.0032(0.0043) -0.0010(0.0032) Equation cpiUSA 0.5497(0.6832) 0.4778(0.0533)*** -0.0334(0.0391) Equation cpiCAN 0.0320(1.0185) 0.2855(0.0794)*** -0.0562(0.0583) $vecm_ML_l1_no ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 12 AIC -4915.539 BIC -4862.695 SSR 26.52256 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN r1 1 -0.01751714 0.00875961 ECT dolcan -1 cpiUSA -1 Equation dolcan 0.0022(0.0021) 0.1613(0.0556)** -0.0012(0.0042) Equation cpiUSA 0.2147(0.0261)*** 0.5017(0.6870) 0.5095(0.0518)*** Equation cpiCAN 0.2883(0.0395)*** 0.1538(1.0398) 0.3179(0.0784)*** cpiCAN -1 Equation dolcan -0.0001(0.0031) Equation cpiUSA -0.0349(0.0386) Equation cpiCAN -0.0108(0.0584) $vecm_ML_l1_coAsExo ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 15 AIC -4920.277 BIC -4856.109 SSR 26.19341 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN r1 1 -0.03933803 0.0205451 ECT dolcan -1 cpiUSA -1 Equation dolcan -0.0011(0.0022) 0.1591(0.0555)** -0.0029(0.0043) Equation cpiUSA 0.0461(0.0267). 0.5268(0.6815) 0.4806(0.0530)*** Equation cpiCAN 0.1466(0.0405)*** 0.2394(1.0351) 0.3174(0.0805)*** cpiCAN -1 exo_1 Equation dolcan -0.0002(0.0031) 0.0019(0.0014) Equation cpiUSA -0.0352(0.0385) 0.1457(0.0170)*** Equation cpiCAN -0.0212(0.0585) 0.1917(0.0258)*** $vecm_ML_l3_coAsExo ############# ###Model VECM ############# Full sample size: 324 End sample size: 320 Number of variables: 3 Number of estimated slope parameters 33 AIC -4878.572 BIC -4746.681 SSR 24.99064 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN r1 1 -0.03537088 0.04022154 ECT dolcan -1 cpiUSA -1 Equation dolcan -0.0036(0.0026) 0.1575(0.0567)** -0.0026(0.0048) Equation cpiUSA -0.0395(0.0312) 0.8568(0.6916) 0.4630(0.0585)*** Equation cpiCAN -0.1064(0.0472)* 0.6859(1.0458) 0.2556(0.0884)** cpiCAN -1 dolcan -2 cpiUSA -2 Equation dolcan -0.0003(0.0032) -0.0416(0.0572) 0.0019(0.0053) Equation cpiUSA -0.0497(0.0385) -0.4935(0.6970) -0.0275(0.0641) Equation cpiCAN -0.0345(0.0582) -0.1286(1.0539) -0.0065(0.0970) cpiCAN -2 dolcan -3 cpiUSA -3 Equation dolcan -0.0074(0.0031)* 0.0198(0.0564) -0.0024(0.0049) Equation cpiUSA 0.0727(0.0380). -0.3954(0.6880) 0.0008(0.0593) Equation cpiCAN 0.1802(0.0575)** -0.6062(1.0403) -0.0028(0.0897) cpiCAN -3 exo_1 Equation dolcan -0.0011(0.0032) 0.0100(0.0048)* Equation cpiUSA 0.0936(0.0389)* 0.1772(0.0584)** Equation cpiCAN 0.1444(0.0589)* 0.2846(0.0883)** $vecm_ML_l1_LRco ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 12 AIC -4922.721 BIC -4869.877 SSR 26.35791 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN const r1 1 0.01130023 0.008267995 -6.144518 ECT dolcan -1 cpiUSA -1 Equation dolcan -0.0006(0.0004). 0.1587(0.0554)** -0.0030(0.0043) Equation cpiUSA -0.0398(0.0046)*** 0.5611(0.6798) 0.4800(0.0527)*** Equation cpiCAN -0.0516(0.0070)*** 0.2618(1.0375) 0.2917(0.0804)*** cpiCAN -1 Equation dolcan -0.0007(0.0031) Equation cpiUSA -0.0367(0.0382) Equation cpiCAN -0.0081(0.0582) $vecm_ML_l1_LRc_exo ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 15 AIC -4919.255 BIC -4855.088 SSR 26.33632 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN const r1 1 -0.0009857241 0.01481188 -4.875817 ECT dolcan -1 cpiUSA -1 Equation dolcan -0.0009(0.0005). 0.1624(0.0554)** -0.0037(0.0043) Equation cpiUSA -0.0534(0.0061)*** 0.6105(0.6811) 0.4721(0.0532)*** Equation cpiCAN -0.0682(0.0094)*** 0.2683(1.0414) 0.2907(0.0813)*** cpiCAN -1 exo_1 Equation dolcan -0.0007(0.0031) 0.0008(0.0007) Equation cpiUSA -0.0360(0.0381) 0.0099(0.0090) Equation cpiCAN -0.0074(0.0583) 0.0008(0.0137) $vecm_ML_l1_LRtr ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 15 AIC -4933.43 BIC -4869.263 SSR 25.52893 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN trend r1 1 1.018655 -0.2419007 -0.224541 ECT Intercept dolcan -1 Equation dolcan 0.0002(0.0003) -0.0015(0.0062) 0.1568(0.0555)** Equation cpiUSA 0.0041(0.0038) 0.0564(0.0769) 0.5095(0.6843) Equation cpiCAN 0.0293(0.0057)*** -0.4111(0.1141)*** 0.0305(1.0160) cpiUSA -1 cpiCAN -1 Equation dolcan -0.0032(0.0043) -0.0010(0.0032) Equation cpiUSA 0.4775(0.0534)*** -0.0331(0.0392) Equation cpiCAN 0.2872(0.0793)*** -0.0573(0.0582) $vecm_ML_l1_LRtr_exo ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 18 AIC -4929.264 BIC -4853.773 SSR 25.51699 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN trend r1 1 3.013935 -0.7507985 -0.6519786 ECT Intercept dolcan -1 Equation dolcan 8e-05(0.0001) -0.0022(0.0060) 0.1604(0.0556)** Equation cpiUSA 0.0015(0.0013) 0.0534(0.0743) 0.5428(0.6860) Equation cpiCAN 0.0100(0.0020)*** -0.3892(0.1105)*** 0.0425(1.0197) cpiUSA -1 cpiCAN -1 exo_1 Equation dolcan -0.0037(0.0044) -0.0010(0.0032) 0.0008(0.0007) Equation cpiUSA 0.4725(0.0538)*** -0.0334(0.0392) 0.0071(0.0090) Equation cpiCAN 0.2845(0.0799)*** -0.0565(0.0583) 0.0017(0.0134) $vecm_ML_l1_LRtr_noCo ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 12 AIC -4927.323 BIC -4874.479 SSR 25.9041 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN trend r1 1 -0.2533695 0.06841211 0.05395278 ECT dolcan -1 cpiUSA -1 Equation dolcan -0.0007(0.0004). 0.1569(0.0554)** -0.0034(0.0043) Equation cpiUSA -0.0414(0.0050)*** 0.5224(0.6859) 0.4902(0.0530)*** Equation cpiCAN -0.0605(0.0075)*** 0.1070(1.0223) 0.2599(0.0790)** cpiCAN -1 Equation dolcan -0.0011(0.0031) Equation cpiUSA -0.0449(0.0389) Equation cpiCAN -0.0377(0.0580) $vecm_ML_l1_LRbo ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 12 AIC -4927.349 BIC -4874.505 SSR 25.9217 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN const trend r1 1 -0.1998984 0.05533385 -0.4175237 0.0421745 ECT dolcan -1 cpiUSA -1 Equation dolcan -0.0009(0.0005). 0.1569(0.0554)** -0.0034(0.0043) Equation cpiUSA -0.0503(0.0060)*** 0.5262(0.6853) 0.4886(0.0530)*** Equation cpiCAN -0.0729(0.0090)*** 0.1194(1.0230) 0.2604(0.0792)** cpiCAN -1 Equation dolcan -0.0011(0.0031) Equation cpiUSA -0.0446(0.0389) Equation cpiCAN -0.0360(0.0580) $vecm_ML_l1_LRbo_exo ############# ###Model VECM ############# Full sample size: 324 End sample size: 322 Number of variables: 3 Number of estimated slope parameters 15 AIC -4923.797 BIC -4859.629 SSR 25.90659 Cointegrating vector (estimated by ML): dolcan cpiUSA cpiCAN const trend r1 1 -0.1666153 0.05084623 -0.5931946 0.03362924 ECT dolcan -1 cpiUSA -1 Equation dolcan -0.0012(0.0006). 0.1606(0.0554)** -0.0042(0.0043) Equation cpiUSA -0.0626(0.0075)*** 0.5734(0.6864) 0.4806(0.0535)*** Equation cpiCAN -0.0895(0.0112)*** 0.1319(1.0269) 0.2592(0.0801)** cpiCAN -1 exo_1 Equation dolcan -0.0011(0.0031) 0.0008(0.0007) Equation cpiUSA -0.0441(0.0388) 0.0095(0.0090) Equation cpiCAN -0.0348(0.0581) 0.0016(0.0135) > > lapply(vecm_all, function(x) head(residuals(x), 3)) $vecm_OLS_l1_co dolcan cpiUSA cpiCAN [1,] 0.001188574 0.02492660 -0.22686024 [2,] 0.003546563 -0.09821462 -0.03395343 [3,] -0.001069610 -0.06359314 -0.10458496 $vecm_OLS_l3_co dolcan cpiUSA cpiCAN [1,] -0.0027937864 -0.03338676 -0.04895191 [2,] -0.0028691263 -0.01874903 -0.02292618 [3,] 0.0001072809 -0.17692868 -0.03316104 $vecm_OLS_l3_co_betaGiven dolcan cpiUSA cpiCAN [1,] -0.0037678700 -0.04041791 -0.06291165 [2,] -0.0038132154 -0.02567584 -0.03689404 [3,] -0.0007569549 -0.18385731 -0.04824218 $vecm_OLS_l1_tr dolcan cpiUSA cpiCAN [1,] 0.0019929183 0.06111900 -0.183125722 [2,] 0.0041814604 -0.06508968 0.005375306 [3,] -0.0004223468 -0.03016327 -0.064849172 $vecm_OLS_l1_bo dolcan cpiUSA cpiCAN [1,] -0.001025399 0.01435351 -0.25329761 [2,] 0.001373834 -0.10859074 -0.05989829 [3,] -0.003252913 -0.07401976 -0.13065610 $vecm_OLS_l1_no dolcan cpiUSA cpiCAN [1,] 0.0022388218 0.08932564 -0.15167089 [2,] 0.0042902051 -0.05261599 0.01928542 [3,] -0.0003051118 -0.01671570 -0.04985302 $vecm_OLS_l1_coAsExo dolcan cpiUSA cpiCAN [1,] 0.001188574 0.02492660 -0.22686024 [2,] 0.003546563 -0.09821462 -0.03395343 [3,] -0.001069610 -0.06359314 -0.10458496 $vecm_OLS_l3_coAsExo dolcan cpiUSA cpiCAN [1,] -0.0027937864 -0.03338676 -0.04895191 [2,] -0.0028691263 -0.01874903 -0.02292618 [3,] 0.0001072809 -0.17692868 -0.03316104 $vecm_OLS_l1_LRco dolcan cpiUSA cpiCAN [1,] 0.0007211855 0.118957630 -0.06344240 [2,] 0.0027968027 -0.022827218 0.10759992 [3,] -0.0018343405 0.009444576 0.03027403 $vecm_OLS_l1_LRtr dolcan cpiUSA cpiCAN [1,] -1.117499e-05 0.04671583 -0.15786107 [2,] 2.344891e-03 -0.07608456 0.03625339 [3,] -2.095259e-03 -0.04416764 -0.04273597 $vecm_OLS_l1_LRtr_noCo dolcan cpiUSA cpiCAN [1,] 0.001426682 0.118112976 -0.07015797 [2,] 0.003412538 -0.023070293 0.10137527 [3,] -0.001028184 0.008818225 0.02235102 $vecm_OLS_l1_LRbo dolcan cpiUSA cpiCAN [1,] 0.0007480798 0.11962377 -0.06459156 [2,] 0.0028116506 -0.02218566 0.10660524 [3,] -0.0017947104 0.01023665 0.02883006 $vecm_OLS_l0_co dolcan cpiUSA cpiCAN [1,] -0.004119062 -0.09098194 -0.18119407 [2,] 0.000656455 -0.01038084 -0.24955440 [3,] 0.003524634 -0.08959959 -0.02742329 $vecm_OLS_l0_tr dolcan cpiUSA cpiCAN [1,] -0.003641097 -0.03314578 -0.12622311 [2,] 0.001150778 0.04984604 -0.19232980 [3,] 0.004042277 -0.02589529 0.03307674 $vecm_ML_l0_co dolcan cpiUSA cpiCAN [1,] -0.0055672523 -0.1154696 -0.20588156 [2,] -0.0007679908 -0.0355614 -0.27605497 [3,] 0.0021313714 -0.1156407 -0.05620476 $vecm_ML_l0_tr dolcan cpiUSA cpiCAN [1,] -0.0054205345 -0.10136081 -0.21209092 [2,] -0.0006186214 -0.02098025 -0.28129413 [3,] 0.0022734171 -0.10227223 -0.06252042 $vecm_ML_l0_bo dolcan cpiUSA cpiCAN [1,] -0.0049191795 -0.10920968 -0.2025909 [2,] -0.0001075646 -0.02881049 -0.2713604 [3,] 0.0027433158 -0.10899669 -0.0531949 $vecm_ML_l0_no dolcan cpiUSA cpiCAN [1,] -0.0051782035 -0.09374874 -0.144326869 [2,] -0.0003686217 -0.01190945 -0.212483835 [3,] 0.0025331755 -0.09156447 0.007861849 $vecm_ML_l0_LRco dolcan cpiUSA cpiCAN [1,] -0.0055825954 -0.12780033 -0.17606476 [2,] -0.0007861302 -0.04839703 -0.24665820 [3,] 0.0021113675 -0.12881945 -0.02707831 $vecm_ML_l0_LRtr dolcan cpiUSA cpiCAN [1,] -0.0055685569 -0.1154870 -0.20606183 [2,] -0.0007692819 -0.0355769 -0.27623185 [3,] 0.0021300670 -0.1156577 -0.05638455 $vecm_ML_l1_co dolcan cpiUSA cpiCAN [1,] 0.0008340251 0.02041238 -0.23996773 [2,] 0.0031829684 -0.10265585 -0.04680944 [3,] -0.0013737978 -0.06810028 -0.11780525 $vecm_ML_l3_co dolcan cpiUSA cpiCAN [1,] -0.005439110 -0.04460189 -0.05700855 [2,] -0.005455879 -0.02992784 -0.03163501 [3,] -0.002387577 -0.18885855 -0.04605878 $vecm_ML_l1_tr dolcan cpiUSA cpiCAN [1,] -0.0003625892 0.02356246 -0.2618685 [2,] 0.0020014119 -0.10042374 -0.0684366 [3,] -0.0024088417 -0.06372566 -0.1343269 $vecm_ML_l1_bo dolcan cpiUSA cpiCAN [1,] 7.282852e-05 0.01494722 -0.24901048 [2,] 2.394915e-03 -0.10792913 -0.05703575 [3,] -1.963922e-03 -0.07396241 -0.11906983 $vecm_ML_l1_no dolcan cpiUSA cpiCAN [1,] 0.0003303779 0.02320757 -0.198725714 [2,] 0.0025500782 -0.10176085 -0.004783186 [3,] -0.0018945569 -0.06545554 -0.078347128 $vecm_ML_l1_coAsExo dolcan cpiUSA cpiCAN [1,] 0.0008340251 0.02041238 -0.23996773 [2,] 0.0031829684 -0.10265585 -0.04680944 [3,] -0.0013737978 -0.06810028 -0.11780525 $vecm_ML_l3_coAsExo dolcan cpiUSA cpiCAN [1,] -0.005439110 -0.04460189 -0.05700855 [2,] -0.005455879 -0.02992784 -0.03163501 [3,] -0.002387577 -0.18885855 -0.04605878 $vecm_ML_l1_LRco dolcan cpiUSA cpiCAN [1,] -0.0005047631 0.002128414 -0.22149309 [2,] 0.0018270994 -0.121345824 -0.02641008 [3,] -0.0026139398 -0.086157605 -0.10160828 $vecm_ML_l1_LRc_exo dolcan cpiUSA cpiCAN [1,] -0.001517079 -0.01108691 -0.22452652 [2,] 0.003600517 -0.10029835 -0.02659908 [3,] -0.003125025 -0.09336924 -0.10425961 $vecm_ML_l1_LRtr dolcan cpiUSA cpiCAN [1,] -0.0003697456 0.03445425 -0.24406712 [2,] 0.0019589547 -0.08864813 -0.05221323 [3,] -0.0024202235 -0.05425468 -0.11387610 $vecm_ML_l1_LRtr_exo dolcan cpiUSA cpiCAN [1,] -0.001369869 0.02552390 -0.24776619 [2,] 0.003667112 -0.07318782 -0.04988985 [3,] -0.002922381 -0.05875100 -0.11665320 $vecm_ML_l1_LRtr_noCo dolcan cpiUSA cpiCAN [1,] -0.0006615481 0.006562833 -0.23428379 [2,] 0.0016762792 -0.118663197 -0.03874351 [3,] -0.0026954324 -0.079850741 -0.10818236 $vecm_ML_l1_LRbo dolcan cpiUSA cpiCAN [1,] -0.000687457 0.005534327 -0.23454124 [2,] 0.001654146 -0.119542413 -0.03896598 [3,] -0.002720971 -0.080948615 -0.10879246 $vecm_ML_l1_LRbo_exo dolcan cpiUSA cpiCAN [1,] -0.001706552 -0.007271516 -0.23835333 [2,] 0.003455339 -0.099251836 -0.03726754 [3,] -0.003230845 -0.087946211 -0.11185188 > lapply(vecm_all, function(x) head(fitted(x), 3)) $vecm_OLS_l1_co dolcan cpiUSA cpiCAN [1,] -8.857375e-05 0.2450734 0.2968602 [2,] 4.534375e-04 0.2882146 0.3239534 [3,] 1.169610e-03 0.2435931 0.2945850 $vecm_OLS_l3_co dolcan cpiUSA cpiCAN [1,] 0.0028937864 0.2133868 0.2389519 [2,] 0.0004691263 0.2187490 0.2629262 [3,] 0.0009927191 0.2369287 0.2731610 $vecm_OLS_l3_co_betaGiven dolcan cpiUSA cpiCAN [1,] 0.003867870 0.2204179 0.2529116 [2,] 0.001413215 0.2256758 0.2768940 [3,] 0.001856955 0.2438573 0.2882422 $vecm_OLS_l1_tr dolcan cpiUSA cpiCAN [1,] -0.0008929183 0.2088810 0.2531257 [2,] -0.0001814604 0.2550897 0.2846247 [3,] 0.0005223468 0.2101633 0.2548492 $vecm_OLS_l1_bo dolcan cpiUSA cpiCAN [1,] 0.002125399 0.2556465 0.3232976 [2,] 0.002626166 0.2985907 0.3498983 [3,] 0.003352913 0.2540198 0.3206561 $vecm_OLS_l1_no dolcan cpiUSA cpiCAN [1,] -0.0011388218 0.1806744 0.2216709 [2,] -0.0002902051 0.2426160 0.2707146 [3,] 0.0004051118 0.1967157 0.2398530 $vecm_OLS_l1_coAsExo dolcan cpiUSA cpiCAN [1,] -8.857375e-05 0.2450734 0.2968602 [2,] 4.534375e-04 0.2882146 0.3239534 [3,] 1.169610e-03 0.2435931 0.2945850 $vecm_OLS_l3_coAsExo dolcan cpiUSA cpiCAN [1,] 0.0028937864 0.2133868 0.2389519 [2,] 0.0004691263 0.2187490 0.2629262 [3,] 0.0009927191 0.2369287 0.2731610 $vecm_OLS_l1_LRco dolcan cpiUSA cpiCAN [1,] 0.0003788145 0.1510424 0.1334424 [2,] 0.0012031973 0.2128272 0.1824001 [3,] 0.0019343405 0.1705554 0.1597260 $vecm_OLS_l1_LRtr dolcan cpiUSA cpiCAN [1,] 0.001111175 0.2232842 0.2278611 [2,] 0.001655109 0.2660846 0.2537466 [3,] 0.002195259 0.2241676 0.2327360 $vecm_OLS_l1_LRtr_noCo dolcan cpiUSA cpiCAN [1,] -0.0003266823 0.1518870 0.1401580 [2,] 0.0005874615 0.2130703 0.1886247 [3,] 0.0011281836 0.1711818 0.1676490 $vecm_OLS_l1_LRbo dolcan cpiUSA cpiCAN [1,] 0.0003519202 0.1503762 0.1345916 [2,] 0.0011883494 0.2121857 0.1833948 [3,] 0.0018947104 0.1697633 0.1611699 $vecm_OLS_l0_co dolcan cpiUSA cpiCAN [1,] 0.0004190618 0.2809819 0.3211941 [2,] 0.0004435450 0.2803808 0.3195544 [3,] 0.0004753664 0.2795996 0.3174233 $vecm_OLS_l0_tr dolcan cpiUSA cpiCAN [1,] -5.890270e-05 0.2231458 0.2662231 [2,] -5.077771e-05 0.2201540 0.2623298 [3,] -4.227721e-05 0.2158953 0.2569233 $vecm_ML_l0_co dolcan cpiUSA cpiCAN [1,] 0.001867252 0.3054696 0.3458816 [2,] 0.001867991 0.3055614 0.3460550 [3,] 0.001868629 0.3056407 0.3462048 $vecm_ML_l0_tr dolcan cpiUSA cpiCAN [1,] 0.001720535 0.2913608 0.3520909 [2,] 0.001718621 0.2909803 0.3512941 [3,] 0.001726583 0.2922722 0.3525204 $vecm_ML_l0_bo dolcan cpiUSA cpiCAN [1,] 0.001219180 0.2992097 0.3425909 [2,] 0.001207565 0.2988105 0.3413604 [3,] 0.001256684 0.2989967 0.3431949 $vecm_ML_l0_no dolcan cpiUSA cpiCAN [1,] 0.001478204 0.2837487 0.2843269 [2,] 0.001468622 0.2819094 0.2824838 [3,] 0.001466824 0.2815645 0.2821382 $vecm_ML_l0_LRco dolcan cpiUSA cpiCAN [1,] 0.001882595 0.3178003 0.3160648 [2,] 0.001886130 0.3183970 0.3166582 [3,] 0.001888632 0.3188194 0.3170783 $vecm_ML_l0_LRtr dolcan cpiUSA cpiCAN [1,] 0.001868557 0.3054870 0.3460618 [2,] 0.001869282 0.3055769 0.3462318 [3,] 0.001869933 0.3056577 0.3463845 $vecm_ML_l1_co dolcan cpiUSA cpiCAN [1,] 0.0002659749 0.2495876 0.3099677 [2,] 0.0008170316 0.2926559 0.3368094 [3,] 0.0014737978 0.2481003 0.3078053 $vecm_ML_l3_co dolcan cpiUSA cpiCAN [1,] 0.005539110 0.2246019 0.2470085 [2,] 0.003055879 0.2299278 0.2716350 [3,] 0.003487577 0.2488586 0.2860588 $vecm_ML_l1_tr dolcan cpiUSA cpiCAN [1,] 0.001462589 0.2464375 0.3318685 [2,] 0.001998588 0.2904237 0.3584366 [3,] 0.002508842 0.2437257 0.3243269 $vecm_ML_l1_bo dolcan cpiUSA cpiCAN [1,] 0.001027171 0.2550528 0.3190105 [2,] 0.001605085 0.2979291 0.3470358 [3,] 0.002063922 0.2539624 0.3090698 $vecm_ML_l1_no dolcan cpiUSA cpiCAN [1,] 0.0007696221 0.2467924 0.2687257 [2,] 0.0014499218 0.2917609 0.2947832 [3,] 0.0019945569 0.2454555 0.2683471 $vecm_ML_l1_coAsExo dolcan cpiUSA cpiCAN [1,] 0.0002659749 0.2495876 0.3099677 [2,] 0.0008170316 0.2926559 0.3368094 [3,] 0.0014737978 0.2481003 0.3078053 $vecm_ML_l3_coAsExo dolcan cpiUSA cpiCAN [1,] 0.005539110 0.2246019 0.2470085 [2,] 0.003055879 0.2299278 0.2716350 [3,] 0.003487577 0.2488586 0.2860588 $vecm_ML_l1_LRco dolcan cpiUSA cpiCAN [1,] 0.001604763 0.2678716 0.2914931 [2,] 0.002172901 0.3113458 0.3164101 [3,] 0.002713940 0.2661576 0.2916083 $vecm_ML_l1_LRc_exo dolcan cpiUSA cpiCAN [1,] 0.0026170790 0.2810869 0.2945265 [2,] 0.0003994833 0.2902984 0.3165991 [3,] 0.0032250251 0.2733692 0.2942596 $vecm_ML_l1_LRtr dolcan cpiUSA cpiCAN [1,] 0.001469746 0.2355458 0.3140671 [2,] 0.002041045 0.2786481 0.3422132 [3,] 0.002520224 0.2342547 0.3038761 $vecm_ML_l1_LRtr_exo dolcan cpiUSA cpiCAN [1,] 0.0024698693 0.2444761 0.3177662 [2,] 0.0003328877 0.2631878 0.3398898 [3,] 0.0030223814 0.2387510 0.3066532 $vecm_ML_l1_LRtr_noCo dolcan cpiUSA cpiCAN [1,] 0.001761548 0.2634372 0.3042838 [2,] 0.002323721 0.3086632 0.3287435 [3,] 0.002795432 0.2598507 0.2981824 $vecm_ML_l1_LRbo dolcan cpiUSA cpiCAN [1,] 0.001787457 0.2644657 0.3045412 [2,] 0.002345854 0.3095424 0.3289660 [3,] 0.002820971 0.2609486 0.2987925 $vecm_ML_l1_LRbo_exo dolcan cpiUSA cpiCAN [1,] 0.0028065519 0.2772715 0.3083533 [2,] 0.0005446609 0.2892518 0.3272675 [3,] 0.0033308455 0.2679462 0.3018519 > lapply(vecm_no_l0, function(x) head(fitted(x, level="original"), 3)) $vecm_OLS_l1_co dolcan cpiUSA cpiCAN [1,] 0.9955114 28.41507 26.29686 [2,] 0.9971534 28.72821 26.39395 [3,] 1.0018696 28.87359 26.65458 $vecm_OLS_l3_co dolcan cpiUSA cpiCAN [1,] 1.0035938 28.84339 26.59895 [2,] 1.0012691 29.02875 26.81293 [3,] 0.9993927 29.24693 27.06316 $vecm_OLS_l3_co_betaGiven dolcan cpiUSA cpiCAN [1,] 1.004568 28.85042 26.61291 [2,] 1.002213 29.03568 26.82689 [3,] 1.000257 29.25386 27.07824 $vecm_OLS_l1_tr dolcan cpiUSA cpiCAN [1,] 0.9947071 28.37888 26.25313 [2,] 0.9965185 28.69509 26.35462 [3,] 1.0012223 28.84016 26.61485 $vecm_OLS_l1_bo dolcan cpiUSA cpiCAN [1,] 0.9977254 28.42565 26.32330 [2,] 0.9993262 28.73859 26.41990 [3,] 1.0040529 28.88402 26.68066 $vecm_OLS_l1_no dolcan cpiUSA cpiCAN [1,] 0.9944612 28.35067 26.22167 [2,] 0.9964098 28.68262 26.34071 [3,] 1.0011051 28.82672 26.59985 $vecm_OLS_l1_coAsExo dolcan cpiUSA cpiCAN [1,] 0.9955114 28.41507 26.29686 [2,] 0.9971534 28.72821 26.39395 [3,] 1.0018696 28.87359 26.65458 $vecm_OLS_l3_coAsExo dolcan cpiUSA cpiCAN [1,] 1.0035938 28.84339 26.59895 [2,] 1.0012691 29.02875 26.81293 [3,] 0.9993927 29.24693 27.06316 $vecm_OLS_l1_LRco dolcan cpiUSA cpiCAN [1,] 0.9959788 28.32104 26.13344 [2,] 0.9979032 28.65283 26.25240 [3,] 1.0026343 28.80056 26.51973 $vecm_OLS_l1_LRtr dolcan cpiUSA cpiCAN [1,] 0.9967112 28.39328 26.22786 [2,] 0.9983551 28.70608 26.32375 [3,] 1.0028953 28.85417 26.59274 $vecm_OLS_l1_LRtr_noCo dolcan cpiUSA cpiCAN [1,] 0.9952733 28.32189 26.14016 [2,] 0.9972875 28.65307 26.25862 [3,] 1.0018282 28.80118 26.52765 $vecm_OLS_l1_LRbo dolcan cpiUSA cpiCAN [1,] 0.9959519 28.32038 26.13459 [2,] 0.9978883 28.65219 26.25339 [3,] 1.0025947 28.79976 26.52117 $vecm_ML_l1_co dolcan cpiUSA cpiCAN [1,] 0.995866 28.41959 26.30997 [2,] 0.997517 28.73266 26.40681 [3,] 1.002174 28.87810 26.66781 $vecm_ML_l3_co dolcan cpiUSA cpiCAN [1,] 1.006239 28.85460 26.60701 [2,] 1.003856 29.03993 26.82164 [3,] 1.001888 29.25886 27.07606 $vecm_ML_l1_tr dolcan cpiUSA cpiCAN [1,] 0.9970626 28.41644 26.33187 [2,] 0.9986986 28.73042 26.42844 [3,] 1.0032088 28.87373 26.68433 $vecm_ML_l1_bo dolcan cpiUSA cpiCAN [1,] 0.9966272 28.42505 26.31901 [2,] 0.9983051 28.73793 26.41704 [3,] 1.0027639 28.88396 26.66907 $vecm_ML_l1_no dolcan cpiUSA cpiCAN [1,] 0.9963696 28.41679 26.26873 [2,] 0.9981499 28.73176 26.36478 [3,] 1.0026946 28.87546 26.62835 $vecm_ML_l1_coAsExo dolcan cpiUSA cpiCAN [1,] 0.995866 28.41959 26.30997 [2,] 0.997517 28.73266 26.40681 [3,] 1.002174 28.87810 26.66781 $vecm_ML_l3_coAsExo dolcan cpiUSA cpiCAN [1,] 1.006239 28.85460 26.60701 [2,] 1.003856 29.03993 26.82164 [3,] 1.001888 29.25886 27.07606 $vecm_ML_l1_LRco dolcan cpiUSA cpiCAN [1,] 0.9972048 28.43787 26.29149 [2,] 0.9988729 28.75135 26.38641 [3,] 1.0034139 28.89616 26.65161 $vecm_ML_l1_LRc_exo dolcan cpiUSA cpiCAN [1,] 0.9982171 28.45109 26.29453 [2,] 0.9970995 28.73030 26.38660 [3,] 1.0039250 28.90337 26.65426 $vecm_ML_l1_LRtr dolcan cpiUSA cpiCAN [1,] 0.9970697 28.40555 26.31407 [2,] 0.9987410 28.71865 26.41221 [3,] 1.0032202 28.86425 26.66388 $vecm_ML_l1_LRtr_exo dolcan cpiUSA cpiCAN [1,] 0.9980699 28.41448 26.31777 [2,] 0.9970329 28.70319 26.40989 [3,] 1.0037224 28.86875 26.66665 $vecm_ML_l1_LRtr_noCo dolcan cpiUSA cpiCAN [1,] 0.9973615 28.43344 26.30428 [2,] 0.9990237 28.74866 26.39874 [3,] 1.0034954 28.88985 26.65818 $vecm_ML_l1_LRbo dolcan cpiUSA cpiCAN [1,] 0.9973875 28.43447 26.30454 [2,] 0.9990459 28.74954 26.39897 [3,] 1.0035210 28.89095 26.65879 $vecm_ML_l1_LRbo_exo dolcan cpiUSA cpiCAN [1,] 0.9984066 28.44727 26.30835 [2,] 0.9972447 28.72925 26.39727 [3,] 1.0040308 28.89795 26.66185 > sapply(vecm_all, deviance) vecm_OLS_l1_co vecm_OLS_l3_co vecm_OLS_l3_co_betaGiven 26.25525 24.94378 24.90243 vecm_OLS_l1_tr vecm_OLS_l1_bo vecm_OLS_l1_no 27.11640 26.09641 30.34056 vecm_OLS_l1_coAsExo vecm_OLS_l3_coAsExo vecm_OLS_l1_LRco 26.25525 24.94378 31.24289 vecm_OLS_l1_LRtr vecm_OLS_l1_LRtr_noCo vecm_OLS_l1_LRbo 26.96383 31.25622 31.26287 vecm_OLS_l0_co vecm_OLS_l0_tr vecm_ML_l0_co 29.55513 32.54430 29.32748 vecm_ML_l0_tr vecm_ML_l0_bo vecm_ML_l0_no 28.57810 28.38918 30.26036 vecm_ML_l0_LRco vecm_ML_l0_LRtr vecm_ML_l1_co 29.49155 29.32353 26.19341 vecm_ML_l3_co vecm_ML_l1_tr vecm_ML_l1_bo 24.99064 25.73611 25.47038 vecm_ML_l1_no vecm_ML_l1_coAsExo vecm_ML_l3_coAsExo 26.52256 26.19341 24.99064 vecm_ML_l1_LRco vecm_ML_l1_LRc_exo vecm_ML_l1_LRtr 26.35791 26.33632 25.52893 vecm_ML_l1_LRtr_exo vecm_ML_l1_LRtr_noCo vecm_ML_l1_LRbo 25.51699 25.90410 25.92170 vecm_ML_l1_LRbo_exo 25.90659 > > > > ## logLik > sapply(vecm_all, logLik) vecm_OLS_l1_co vecm_OLS_l3_co vecm_OLS_l3_co_betaGiven -15.38412 -15.46030 -15.46244 vecm_OLS_l1_tr vecm_OLS_l1_bo vecm_OLS_l1_no -15.32465 -15.41232 -15.13114 vecm_OLS_l1_coAsExo vecm_OLS_l3_coAsExo vecm_OLS_l1_LRco -15.38412 -15.46030 -15.10571 vecm_OLS_l1_LRtr vecm_OLS_l1_LRtr_noCo vecm_OLS_l1_LRbo -15.36557 -15.10725 -15.10473 vecm_OLS_l0_co vecm_OLS_l0_tr vecm_ML_l0_co -15.10908 -14.94468 1066.79728 vecm_ML_l0_tr vecm_ML_l0_bo vecm_ML_l0_no 1071.59446 1075.54280 1056.06341 vecm_ML_l0_LRco vecm_ML_l0_LRtr vecm_ML_l1_co 1065.44005 1066.81216 1106.44373 vecm_ML_l3_co vecm_ML_l1_tr vecm_ML_l1_bo 1112.10515 1109.79472 1114.44940 vecm_ML_l1_no vecm_ML_l1_coAsExo vecm_ML_l3_coAsExo 1101.07482 1106.44373 1112.10515 vecm_ML_l1_LRco vecm_ML_l1_LRc_exo vecm_ML_l1_LRtr 1104.66570 1105.93307 1113.02033 vecm_ML_l1_LRtr_exo vecm_ML_l1_LRtr_noCo vecm_ML_l1_LRbo 1113.93740 1106.96679 1106.97988 vecm_ML_l1_LRbo_exo 1108.20375 > sapply(vecm_ML, logLik, r=0) vecm_ML_l0_co vecm_ML_l0_tr vecm_ML_l0_bo 1058.1130 960.0029 1067.8467 vecm_ML_l0_no vecm_ML_l0_LRco vecm_ML_l0_LRtr 862.1379 862.1379 1058.1130 vecm_ML_l1_co vecm_ML_l3_co vecm_ML_l1_tr 1099.5938 1108.1083 1070.2216 vecm_ML_l1_bo vecm_ML_l1_no vecm_ML_l1_coAsExo 1107.2577 1058.2684 1099.5938 vecm_ML_l3_coAsExo vecm_ML_l1_LRco vecm_ML_l1_LRc_exo 1108.1083 1058.2684 1058.9959 vecm_ML_l1_LRtr vecm_ML_l1_LRtr_exo vecm_ML_l1_LRtr_noCo 1099.5938 1100.4894 1058.2684 vecm_ML_l1_LRbo vecm_ML_l1_LRbo_exo 1058.2684 1058.9959 > sapply(vecm_ML, logLik, r=1) vecm_ML_l0_co vecm_ML_l0_tr vecm_ML_l0_bo 1066.797 1071.594 1075.543 vecm_ML_l0_no vecm_ML_l0_LRco vecm_ML_l0_LRtr 1056.063 1065.440 1066.812 vecm_ML_l1_co vecm_ML_l3_co vecm_ML_l1_tr 1106.444 1112.105 1109.795 vecm_ML_l1_bo vecm_ML_l1_no vecm_ML_l1_coAsExo 1114.449 1101.075 1106.444 vecm_ML_l3_coAsExo vecm_ML_l1_LRco vecm_ML_l1_LRc_exo 1112.105 1104.666 1105.933 vecm_ML_l1_LRtr vecm_ML_l1_LRtr_exo vecm_ML_l1_LRtr_noCo 1113.020 1113.937 1106.967 vecm_ML_l1_LRbo vecm_ML_l1_LRbo_exo 1106.980 1108.204 > sapply(vecm_ML, logLik, r=2) vecm_ML_l0_co vecm_ML_l0_tr vecm_ML_l0_bo 1070.887 1074.447 1079.706 vecm_ML_l0_no vecm_ML_l0_LRco vecm_ML_l0_LRtr 1059.259 1069.937 1070.903 vecm_ML_l1_co vecm_ML_l3_co vecm_ML_l1_tr 1109.997 1115.597 1113.368 vecm_ML_l1_bo vecm_ML_l1_no vecm_ML_l1_coAsExo 1118.155 1103.612 1109.997 vecm_ML_l3_coAsExo vecm_ML_l1_LRco vecm_ML_l1_LRc_exo 1115.597 1109.089 1110.562 vecm_ML_l1_LRtr vecm_ML_l1_LRtr_exo vecm_ML_l1_LRtr_noCo 1116.742 1118.106 1110.955 vecm_ML_l1_LRbo vecm_ML_l1_LRbo_exo 1114.723 1115.960 > > ## AIC/BIC > sapply(vecm_all, AIC) vecm_OLS_l1_co vecm_OLS_l3_co vecm_OLS_l3_co_betaGiven -4919.687 -4877.297 -4877.980 vecm_OLS_l1_tr vecm_OLS_l1_bo vecm_OLS_l1_no -4900.538 -4922.766 -4844.226 vecm_OLS_l1_coAsExo vecm_OLS_l3_coAsExo vecm_OLS_l1_LRco -4919.687 -4877.297 -4836.039 vecm_OLS_l1_LRtr vecm_OLS_l1_LRtr_noCo vecm_OLS_l1_LRbo -4913.714 -4836.533 -4835.724 vecm_OLS_l0_co vecm_OLS_l0_tr vecm_ML_l0_co -4868.234 -4815.132 -4871.497 vecm_ML_l0_tr vecm_ML_l0_bo vecm_ML_l0_no -4881.092 -4878.988 -4852.030 vecm_ML_l0_LRco vecm_ML_l0_LRtr vecm_ML_l1_co -4870.783 -4871.557 -4920.277 vecm_ML_l3_co vecm_ML_l1_tr vecm_ML_l1_bo -4878.572 -4926.979 -4930.288 vecm_ML_l1_no vecm_ML_l1_coAsExo vecm_ML_l3_coAsExo -4915.539 -4920.277 -4878.572 vecm_ML_l1_LRco vecm_ML_l1_LRc_exo vecm_ML_l1_LRtr -4922.721 -4919.255 -4933.430 vecm_ML_l1_LRtr_exo vecm_ML_l1_LRtr_noCo vecm_ML_l1_LRbo -4929.264 -4927.323 -4927.349 vecm_ML_l1_LRbo_exo -4923.797 > sapply(vecm_ML, AIC, r=0) vecm_ML_l0_co vecm_ML_l0_tr vecm_ML_l0_bo -4881.497 -4891.092 -4888.988 vecm_ML_l0_no vecm_ML_l0_LRco vecm_ML_l0_LRtr -4862.030 -4880.783 -4881.557 vecm_ML_l1_co vecm_ML_l3_co vecm_ML_l1_tr -4930.277 -4888.572 -4936.979 vecm_ML_l1_bo vecm_ML_l1_no vecm_ML_l1_coAsExo -4940.288 -4925.539 -4930.277 vecm_ML_l3_coAsExo vecm_ML_l1_LRco vecm_ML_l1_LRc_exo -4888.572 -4932.721 -4929.255 vecm_ML_l1_LRtr vecm_ML_l1_LRtr_exo vecm_ML_l1_LRtr_noCo -4943.430 -4939.264 -4937.323 vecm_ML_l1_LRbo vecm_ML_l1_LRbo_exo -4937.349 -4933.797 > sapply(vecm_ML, AIC, r=1) vecm_ML_l0_co vecm_ML_l0_tr vecm_ML_l0_bo -4871.497 -4881.092 -4878.988 vecm_ML_l0_no vecm_ML_l0_LRco vecm_ML_l0_LRtr -4852.030 -4870.783 -4871.557 vecm_ML_l1_co vecm_ML_l3_co vecm_ML_l1_tr -4920.277 -4878.572 -4926.979 vecm_ML_l1_bo vecm_ML_l1_no vecm_ML_l1_coAsExo -4930.288 -4915.539 -4920.277 vecm_ML_l3_coAsExo vecm_ML_l1_LRco vecm_ML_l1_LRc_exo -4878.572 -4922.721 -4919.255 vecm_ML_l1_LRtr vecm_ML_l1_LRtr_exo vecm_ML_l1_LRtr_noCo -4933.430 -4929.264 -4927.323 vecm_ML_l1_LRbo vecm_ML_l1_LRbo_exo -4927.349 -4923.797 > sapply(vecm_ML, AIC, r=2) vecm_ML_l0_co vecm_ML_l0_tr vecm_ML_l0_bo -4865.497 -4875.092 -4872.988 vecm_ML_l0_no vecm_ML_l0_LRco vecm_ML_l0_LRtr -4846.030 -4864.783 -4865.557 vecm_ML_l1_co vecm_ML_l3_co vecm_ML_l1_tr -4914.277 -4872.572 -4920.979 vecm_ML_l1_bo vecm_ML_l1_no vecm_ML_l1_coAsExo -4924.288 -4909.539 -4914.277 vecm_ML_l3_coAsExo vecm_ML_l1_LRco vecm_ML_l1_LRc_exo -4872.572 -4916.721 -4913.255 vecm_ML_l1_LRtr vecm_ML_l1_LRtr_exo vecm_ML_l1_LRtr_noCo -4927.430 -4923.264 -4921.323 vecm_ML_l1_LRbo vecm_ML_l1_LRbo_exo -4921.349 -4917.797 > sapply(vecm_ML, AIC, r=0, fitMeasure="LL") vecm_ML_l0_co vecm_ML_l0_tr vecm_ML_l0_bo -2114.226 -1918.006 -2123.693 vecm_ML_l0_no vecm_ML_l0_LRco vecm_ML_l0_LRtr -1724.276 -1724.276 -2114.226 vecm_ML_l1_co vecm_ML_l3_co vecm_ML_l1_tr -2175.188 -2156.217 -2116.443 vecm_ML_l1_bo vecm_ML_l1_no vecm_ML_l1_coAsExo -2184.515 -2098.537 -2175.188 vecm_ML_l3_coAsExo vecm_ML_l1_LRco vecm_ML_l1_LRc_exo -2156.217 -2098.537 -2093.992 vecm_ML_l1_LRtr vecm_ML_l1_LRtr_exo vecm_ML_l1_LRtr_noCo -2175.188 -2170.979 -2098.537 vecm_ML_l1_LRbo vecm_ML_l1_LRbo_exo -2098.537 -2093.992 > sapply(vecm_ML, AIC, r=1, fitMeasure="LL") vecm_ML_l0_co vecm_ML_l0_tr vecm_ML_l0_bo -2121.595 -2131.189 -2129.086 vecm_ML_l0_no vecm_ML_l0_LRco vecm_ML_l0_LRtr -2102.127 -2120.880 -2121.624 vecm_ML_l1_co vecm_ML_l3_co vecm_ML_l1_tr -2178.887 -2154.210 -2185.589 vecm_ML_l1_bo vecm_ML_l1_no vecm_ML_l1_coAsExo -2188.899 -2174.150 -2178.887 vecm_ML_l3_coAsExo vecm_ML_l1_LRco vecm_ML_l1_LRc_exo -2154.210 -2181.331 -2177.866 vecm_ML_l1_LRtr vecm_ML_l1_LRtr_exo vecm_ML_l1_LRtr_noCo -2192.041 -2187.875 -2185.934 vecm_ML_l1_LRbo vecm_ML_l1_LRbo_exo -2185.960 -2182.408 > sapply(vecm_ML, AIC, r=2, fitMeasure="LL") vecm_ML_l0_co vecm_ML_l0_tr vecm_ML_l0_bo -2123.775 -2130.894 -2131.411 vecm_ML_l0_no vecm_ML_l0_LRco vecm_ML_l0_LRtr -2102.518 -2123.875 -2123.805 vecm_ML_l1_co vecm_ML_l3_co vecm_ML_l1_tr -2179.993 -2155.194 -2186.735 vecm_ML_l1_bo vecm_ML_l1_no vecm_ML_l1_coAsExo -2190.310 -2173.225 -2179.993 vecm_ML_l3_coAsExo vecm_ML_l1_LRco vecm_ML_l1_LRc_exo -2155.194 -2184.179 -2181.124 vecm_ML_l1_LRtr vecm_ML_l1_LRtr_exo vecm_ML_l1_LRtr_noCo -2193.483 -2190.212 -2187.910 vecm_ML_l1_LRbo vecm_ML_l1_LRbo_exo -2195.447 -2191.921 > > sapply(vecm_all, BIC) vecm_OLS_l1_co vecm_OLS_l3_co vecm_OLS_l3_co_betaGiven -4855.520 -4745.405 -4746.089 vecm_OLS_l1_tr vecm_OLS_l1_bo vecm_OLS_l1_no -4836.371 -4847.274 -4791.382 vecm_OLS_l1_coAsExo vecm_OLS_l3_coAsExo vecm_OLS_l1_LRco -4855.520 -4745.405 -4783.195 vecm_OLS_l1_LRtr vecm_OLS_l1_LRtr_noCo vecm_OLS_l1_LRbo -4849.547 -4783.690 -4782.880 vecm_OLS_l0_co vecm_OLS_l0_tr vecm_ML_l0_co -4845.568 -4792.466 -4848.832 vecm_ML_l0_tr vecm_ML_l0_bo vecm_ML_l0_no -4858.426 -4837.434 -4833.141 vecm_ML_l0_LRco vecm_ML_l0_LRtr vecm_ML_l1_co -4851.895 -4848.891 -4856.109 vecm_ML_l3_co vecm_ML_l1_tr vecm_ML_l1_bo -4746.681 -4862.811 -4854.797 vecm_ML_l1_no vecm_ML_l1_coAsExo vecm_ML_l3_coAsExo -4862.695 -4856.109 -4746.681 vecm_ML_l1_LRco vecm_ML_l1_LRc_exo vecm_ML_l1_LRtr -4869.877 -4855.088 -4869.263 vecm_ML_l1_LRtr_exo vecm_ML_l1_LRtr_noCo vecm_ML_l1_LRbo -4853.773 -4874.479 -4874.505 vecm_ML_l1_LRbo_exo -4859.629 > sapply(vecm_ML, BIC, r=0) vecm_ML_l0_co vecm_ML_l0_tr vecm_ML_l0_bo -4877.720 -4887.314 -4866.323 vecm_ML_l0_no vecm_ML_l0_LRco vecm_ML_l0_LRtr -4862.030 -4880.783 -4877.779 vecm_ML_l1_co vecm_ML_l3_co vecm_ML_l1_tr -4884.982 -4775.523 -4891.684 vecm_ML_l1_bo vecm_ML_l1_no vecm_ML_l1_coAsExo -4883.670 -4891.568 -4884.982 vecm_ML_l3_coAsExo vecm_ML_l1_LRco vecm_ML_l1_LRc_exo -4775.523 -4898.750 -4883.961 vecm_ML_l1_LRtr vecm_ML_l1_LRtr_exo vecm_ML_l1_LRtr_noCo -4898.135 -4882.646 -4903.352 vecm_ML_l1_LRbo vecm_ML_l1_LRbo_exo -4903.378 -4888.502 > sapply(vecm_ML, BIC, r=0, fitMeasure="LL") vecm_ML_l0_co vecm_ML_l0_tr vecm_ML_l0_bo -2110.448 -1914.228 -2101.027 vecm_ML_l0_no vecm_ML_l0_LRco vecm_ML_l0_LRtr -1724.276 -1724.276 -2110.448 vecm_ML_l1_co vecm_ML_l3_co vecm_ML_l1_tr -2129.893 -2043.167 -2071.149 vecm_ML_l1_bo vecm_ML_l1_no vecm_ML_l1_coAsExo -2127.897 -2064.566 -2129.893 vecm_ML_l3_coAsExo vecm_ML_l1_LRco vecm_ML_l1_LRc_exo -2043.167 -2064.566 -2048.697 vecm_ML_l1_LRtr vecm_ML_l1_LRtr_exo vecm_ML_l1_LRtr_noCo -2129.893 -2114.361 -2064.566 vecm_ML_l1_LRbo vecm_ML_l1_LRbo_exo -2064.566 -2048.697 > > > ## coint > sapply(vecm_all, function(x) x$model.specific$beta) $vecm_OLS_l1_co r1 dolcan 1.00000000 cpiUSA -0.05710189 cpiCAN 0.04101960 $vecm_OLS_l3_co r1 dolcan 1.00000000 cpiUSA -0.05710189 cpiCAN 0.04101960 $vecm_OLS_l3_co_betaGiven r1 dolcan 1.00 cpiUSA -0.10 cpiCAN 0.05 $vecm_OLS_l1_tr r1 dolcan 1.00000000 cpiUSA -0.05710189 cpiCAN 0.04101960 $vecm_OLS_l1_bo r1 dolcan 1.00000000 cpiUSA -0.05710189 cpiCAN 0.04101960 $vecm_OLS_l1_no r1 dolcan 1.00000000 cpiUSA -0.05710189 cpiCAN 0.04101960 $vecm_OLS_l1_coAsExo r1 dolcan 1.00000000 cpiUSA -0.05710189 cpiCAN 0.04101960 $vecm_OLS_l3_coAsExo r1 dolcan 1.00000000 cpiUSA -0.05710189 cpiCAN 0.04101960 $vecm_OLS_l1_LRco r1 dolcan 1.000000000 cpiUSA -0.014817492 cpiCAN 0.009676475 const -0.864518262 $vecm_OLS_l1_LRtr r1 dolcan 1.000000000 cpiUSA -0.053879406 cpiCAN 0.019452076 trend 0.007610433 $vecm_OLS_l1_LRtr_noCo r1 dolcan 1.000000000 cpiUSA -0.053879406 cpiCAN 0.019452076 trend 0.007610433 $vecm_OLS_l1_LRbo r1 dolcan 1.000000000 cpiUSA -0.019039918 cpiCAN 0.010627527 const -0.770704602 trend 0.000864578 $vecm_OLS_l0_co r1 dolcan 1.00000000 cpiUSA -0.05710189 cpiCAN 0.04101960 $vecm_OLS_l0_tr r1 dolcan 1.00000000 cpiUSA -0.05710189 cpiCAN 0.04101960 $vecm_ML_l0_co r1 dolcan 1.00000000 cpiUSA -0.02123402 cpiCAN 0.04020793 $vecm_ML_l0_tr r1 dolcan 1.00000000 cpiUSA -0.21897978 cpiCAN 0.07550665 $vecm_ML_l0_bo r1 dolcan 1.0000000 cpiUSA -0.3432729 cpiCAN 0.1102598 $vecm_ML_l0_no r1 dolcan 1.0000000000 cpiUSA -0.0077057431 cpiCAN 0.0002734381 $vecm_ML_l0_LRco r1 dolcan 1.00000000 cpiUSA -0.02193294 cpiCAN 0.02567844 const -3.32505090 $vecm_ML_l0_LRtr r1 dolcan 1.0000000000 cpiUSA -0.0220091730 cpiCAN 0.0404151067 trend 0.0001604596 $vecm_ML_l1_co r1 dolcan 1.00000000 cpiUSA -0.03933803 cpiCAN 0.02054510 $vecm_ML_l3_co r1 dolcan 1.00000000 cpiUSA -0.03537088 cpiCAN 0.04022154 $vecm_ML_l1_tr r1 dolcan 1.00000000 cpiUSA -0.22538833 cpiCAN 0.06081836 $vecm_ML_l1_bo r1 dolcan 1.000000 cpiUSA 1.650717 cpiCAN -0.428511 $vecm_ML_l1_no r1 dolcan 1.00000000 cpiUSA -0.01751714 cpiCAN 0.00875961 $vecm_ML_l1_coAsExo r1 dolcan 1.00000000 cpiUSA -0.03933803 cpiCAN 0.02054510 $vecm_ML_l3_coAsExo r1 dolcan 1.00000000 cpiUSA -0.03537088 cpiCAN 0.04022154 $vecm_ML_l1_LRco r1 dolcan 1.000000000 cpiUSA 0.011300229 cpiCAN 0.008267995 const -6.144517684 $vecm_ML_l1_LRc_exo r1 dolcan 1.0000000000 cpiUSA -0.0009857241 cpiCAN 0.0148118803 const -4.8758170001 $vecm_ML_l1_LRtr r1 dolcan 1.0000000 cpiUSA 1.0186548 cpiCAN -0.2419007 trend -0.2245410 $vecm_ML_l1_LRtr_exo r1 dolcan 1.0000000 cpiUSA 3.0139347 cpiCAN -0.7507985 trend -0.6519786 $vecm_ML_l1_LRtr_noCo r1 dolcan 1.00000000 cpiUSA -0.25336947 cpiCAN 0.06841211 trend 0.05395278 $vecm_ML_l1_LRbo r1 dolcan 1.00000000 cpiUSA -0.19989838 cpiCAN 0.05533385 const -0.41752374 trend 0.04217450 $vecm_ML_l1_LRbo_exo r1 dolcan 1.00000000 cpiUSA -0.16661529 cpiCAN 0.05084623 const -0.59319456 trend 0.03362924 > > ### VARrep > lapply(vecm_all, function(x) round(VARrep(x),9)) $vecm_OLS_l1_co constant dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 cpiUSA.l2 dolcan 0.002202355 1.1562476 -0.002857588 0.000024549 -0.1587853 0.003002494 cpiUSA 0.135043876 0.5980099 1.480514689 -0.033096910 -0.5426890 -0.483673616 cpiCAN 0.157670998 0.4688061 0.317071953 0.984942119 -0.2897487 -0.327296468 cpiCAN.l2 dolcan -0.000128643 cpiUSA 0.035366150 cpiCAN 0.022402743 $vecm_OLS_l3_co constant dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 cpiUSA.l2 dolcan 0.003662911 1.1598556 -0.002165704 0.000340413 -0.2025899 0.004254203 cpiUSA 0.108353256 0.9004829 1.467009513 -0.049820828 -1.3651864 -0.491873910 cpiCAN 0.100383436 0.8256217 0.264639286 0.956006360 -0.8264756 -0.263121621 cpiCAN.l2 dolcan.l3 cpiUSA.l3 cpiCAN.l3 dolcan.l4 dolcan -0.007002329 0.06164359 -0.004165925 0.006212849 -0.0202477 cpiUSA 0.122613840 0.09972844 0.031132685 0.021278553 0.3943149 cpiCAN 0.214413470 -0.47424624 0.013219788 -0.032511181 0.6081994 cpiUSA.l4 cpiCAN.l4 dolcan 0.002153848 0.000394169 cpiUSA -0.007943649 -0.092868057 cpiCAN -0.022337674 -0.132448970 $vecm_OLS_l3_co_betaGiven constant dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 cpiUSA.l2 dolcan 0.004305988 1.1600351 -0.002253126 -0.000029246 -0.2013517 0.004363085 cpiUSA 0.135232014 0.8719785 1.465814662 -0.051487806 -1.3559613 -0.491073913 cpiCAN 0.196424879 0.7118378 0.261184960 0.954618379 -0.8076076 -0.261506303 cpiCAN.l2 dolcan.l3 cpiUSA.l3 cpiCAN.l3 dolcan.l4 dolcan -0.007042674 0.06159488 -0.004108513 0.006295522 -0.02006583 cpiUSA 0.122398788 0.09915768 0.030360200 0.021394845 0.39432206 cpiCAN 0.214132673 -0.47579998 0.009408236 -0.033202384 0.60570782 cpiUSA.l4 cpiCAN.l4 dolcan 0.001977308 0.00078702 cpiUSA -0.006050638 -0.09183098 cpiCAN -0.012500706 -0.13384176 $vecm_OLS_l1_tr Trend dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 cpiUSA.l2 dolcan 0.000005099 1.1636030 -0.000313823 0.000865383 -0.1643691 0.00035757 cpiUSA 0.000584924 0.9045748 1.531552576 -0.012848404 -0.6613709 -0.54543998 cpiCAN 0.000652282 0.8429994 0.388475297 1.012108084 -0.4535006 -0.41071641 cpiCAN.l2 dolcan -0.000896808 cpiUSA 0.022824531 cpiCAN 0.003868999 $vecm_OLS_l1_bo constant Trend dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 dolcan 0.01161813 -0.000047201 1.1382782 -0.003942191 -0.000649134 -0.1557842 cpiUSA 0.18001000 -0.000225415 0.5121950 1.475335039 -0.036314161 -0.5283571 cpiCAN 0.27010606 -0.000563637 0.2542312 0.304120552 0.976897577 -0.2539127 cpiUSA.l2 cpiCAN.l2 dolcan 0.004941816 -0.000068955 cpiUSA -0.474412152 0.035651198 cpiCAN -0.304138740 0.023115488 $vecm_OLS_l1_no dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 cpiUSA.l2 cpiCAN.l2 dolcan 1.166309 0.001651788 0.001451836 -0.1685594 -0.001523275 -0.001544155 cpiUSA 1.214940 1.757020322 0.054421385 -1.1420163 -0.761184412 -0.051430078 cpiCAN 1.189105 0.639907172 1.087124442 -0.9894956 -0.651305269 -0.078936528 $vecm_OLS_l1_coAsExo dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 cpiUSA.l2 cpiCAN.l2 dolcan 1.1562476 -0.002857588 0.000024549 -0.1587853 0.003002494 -0.000128643 cpiUSA 0.5980099 1.480514689 -0.033096910 -0.5426890 -0.483673616 0.035366150 cpiCAN 0.4688061 0.317071953 0.984942119 -0.2897487 -0.327296468 0.022402743 co_exo dolcan 0.002202355 cpiUSA 0.135043876 cpiCAN 0.157670998 $vecm_OLS_l3_coAsExo dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 cpiUSA.l2 cpiCAN.l2 dolcan 1.1598556 -0.002165704 0.000340413 -0.2025899 0.004254203 -0.007002329 cpiUSA 0.9004829 1.467009513 -0.049820828 -1.3651864 -0.491873910 0.122613840 cpiCAN 0.8256217 0.264639286 0.956006360 -0.8264756 -0.263121621 0.214413470 dolcan.l3 cpiUSA.l3 cpiCAN.l3 dolcan.l4 cpiUSA.l4 dolcan 0.06164359 -0.004165925 0.006212849 -0.0202477 0.002153848 cpiUSA 0.09972844 0.031132685 0.021278553 0.3943149 -0.007943649 cpiCAN -0.47424624 0.013219788 -0.032511181 0.6081994 -0.022337674 cpiCAN.l4 co_exo dolcan 0.000394169 0.003662911 cpiUSA -0.092868057 0.108353256 cpiCAN -0.132448970 0.100383436 $vecm_OLS_l1_LRco constant dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 cpiUSA.l2 dolcan 0.017270953 1.155733 0.000890469 0.00139244 -0.1757108 -0.000594452 cpiUSA 0.007796617 1.153637 1.764130794 0.07042305 -1.1626553 -0.763997164 cpiCAN -0.185349278 1.168458 0.665765998 1.12579693 -0.9540622 -0.668942809 cpiCAN.l2 dolcan -0.001585752 cpiUSA -0.070510320 cpiCAN -0.123722329 $vecm_OLS_l1_LRtr constant Trend dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 dolcan 0.002753888 -0.000139630 1.1416266 -0.003427022 -0.001031087 -0.1599738 cpiUSA 0.136744939 -0.000008876 0.5472177 1.482638786 -0.022263502 -0.5483841 cpiCAN 0.167975293 -0.001096077 0.1752091 0.320349521 1.015748424 -0.3192321 cpiUSA.l2 cpiCAN.l2 dolcan 0.004415558 0.000674196 cpiUSA -0.482575944 0.022240814 cpiCAN -0.312589647 -0.018549971 $vecm_OLS_l1_LRtr_noCo Trend dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 cpiUSA.l2 dolcan -0.000115959 1.156323 0.002108313 0.000853913 -0.1715595 -0.001287359 cpiUSA 0.001166508 1.276954 1.757497138 0.071336638 -1.1236760 -0.765755640 cpiCAN 0.000347746 1.071605 0.657981117 1.130725337 -1.0259115 -0.660443050 cpiCAN.l2 dolcan -0.001150302 cpiUSA -0.068355071 cpiCAN -0.129836506 $vecm_OLS_l1_LRbo constant Trend dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 dolcan 0.01574198 -0.000017659 1.155118 0.00103138 0.001315216 -0.1755439 cpiUSA -0.01102092 0.000012363 1.168227 1.76464755 0.069983709 -1.1539268 cpiCAN -0.14508872 0.000162761 1.155494 0.66365752 1.127157895 -0.9672391 cpiUSA.l2 cpiCAN.l2 dolcan -0.000642481 -0.001532288 cpiUSA -0.764919819 -0.069831738 cpiCAN -0.667241871 -0.125157214 $vecm_OLS_l0_co constant dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan 0.001704454 0.99721991 0.000158749 -0.000114038 cpiUSA 0.249423711 0.06825526 0.996102496 0.002799803 cpiCAN 0.235109720 0.18618630 -0.010631589 1.007637287 $vecm_OLS_l0_tr Trend dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan 0.000006872 0.9998577 0.000008123 -0.000005835 cpiUSA 0.001234973 0.4799566 0.972593573 0.019687626 cpiCAN 0.001155503 0.5732976 -0.032736377 1.023516438 $vecm_ML_l0_co constant dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan 0.002374059 0.99964926 0.000007448 -0.000014103 cpiUSA 0.368504529 -0.04362435 1.000926320 -0.001754045 cpiCAN 0.464893314 -0.08236397 0.001748918 0.996688316 $vecm_ML_l0_tr Trend dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan -0.000020965 0.99945152 0.000120105 -0.000041414 cpiUSA -0.003607422 -0.09289893 1.020342986 -0.007014487 cpiCAN -0.004699981 -0.11236970 0.024606692 0.991515340 $vecm_ML_l0_bo constant Trend dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan -0.01016577 -0.000118541 0.99800084 0.000686258 -0.000220427 cpiUSA 0.18976366 -0.001429789 -0.01926882 1.006614464 -0.002124577 cpiCAN -0.23130939 -0.006626575 -0.10088827 0.034632211 0.988876075 $vecm_ML_l0_no dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan 1.0018693 -0.000014405 0.000000511 cpiUSA 0.3588284 0.997234960 0.000098117 cpiCAN 0.3595595 -0.002770673 1.000098317 $vecm_ML_l0_LRco constant dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan 0.002751056 0.9991726 0.000018147 -0.000021246 cpiUSA 0.464404908 -0.1396685 1.003063341 -0.003586470 cpiCAN 0.461868698 -0.1389058 0.003046611 0.996433117 $vecm_ML_l0_LRtr constant Trend dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan 0.002370631 -5.6000e-08 0.99964860 0.000007734 -0.000014202 cpiUSA 0.367753637 -6.9930e-06 -0.04358034 1.000959167 -0.001761304 cpiCAN 0.463805846 -1.3223e-05 -0.08240887 0.001813751 0.996669437 $vecm_ML_l1_co constant dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 cpiUSA.l2 dolcan 0.001904987 1.1579256 -0.002860572 -0.000178208 -0.1590566 0.002905063 cpiUSA 0.145721073 0.5728570 1.478762363 -0.034287234 -0.5267517 -0.480576053 cpiCAN 0.191714766 0.3859899 0.311623398 0.981778454 -0.2393953 -0.317390143 cpiCAN.l2 dolcan 0.000154972 cpiUSA 0.035234471 cpiCAN 0.021233348 $vecm_ML_l3_co constant dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 cpiUSA.l2 dolcan 0.00996184 1.1539792 -0.002518903 -0.000452376 -0.1991885 0.00455231 cpiUSA 0.17719382 0.8173044 1.464441307 -0.051242915 -1.3503573 -0.49058658 cpiCAN 0.28464387 0.5794588 0.259368524 0.961188437 -0.8145152 -0.26212171 cpiCAN.l2 dolcan.l3 cpiUSA.l3 cpiCAN.l3 dolcan.l4 dolcan -0.007095438 0.06142721 -0.004267441 0.006334268 -0.0197858 cpiUSA 0.122369313 0.09812765 0.028354590 0.020850557 0.3954077 cpiCAN 0.214718401 -0.47758269 0.003712891 -0.035834903 0.6062154 cpiUSA.l4 cpiCAN.l4 dolcan 0.002360235 0.001070038 cpiUSA -0.000811550 -0.093566410 cpiCAN 0.002804600 -0.144352463 $vecm_ML_l1_tr Trend dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 dolcan -0.000034885 1.15565508 -0.003470941 -0.001030432 -0.1564255 cpiUSA -0.001985084 0.46201729 1.488905742 -0.042571756 -0.5057202 cpiCAN -0.003825069 0.06400892 0.295434306 0.949551230 -0.1408267 cpiUSA.l2 cpiCAN.l2 dolcan 0.003644594 0.000983574 cpiUSA -0.479055607 0.039913814 cpiCAN -0.278120484 0.045776841 $vecm_ML_l1_bo constant Trend dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 dolcan -0.00626408 -0.000078296 1.1556791 -0.002848043 -0.001099672 -0.15543978 cpiUSA 0.22561620 0.000305246 0.5481813 1.475302559 -0.032761983 -0.54969245 cpiCAN -0.36623757 -0.006296457 0.0497276 0.314787367 0.936233490 -0.03197812 cpiUSA.l2 cpiCAN.l2 dolcan 0.003243091 0.000997121 cpiUSA -0.477797087 0.033409540 cpiCAN -0.285487996 0.056160662 $vecm_ML_l1_no dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 cpiUSA.l2 cpiCAN.l2 dolcan 1.1634841 -0.001229754 -0.000096363 -0.1612798 0.001191142 0.000115672 cpiUSA 0.7163938 1.505764155 -0.033063596 -0.5016621 -0.509525642 0.034944562 cpiCAN 0.4420717 0.312863916 0.991729940 -0.1538064 -0.317913501 0.010795152 $vecm_ML_l1_coAsExo dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 cpiUSA.l2 cpiCAN.l2 dolcan 1.1579256 -0.002860572 -0.000178208 -0.1590566 0.002905063 0.000154972 cpiUSA 0.5728570 1.478762363 -0.034287234 -0.5267517 -0.480576053 0.035234471 cpiCAN 0.3859899 0.311623398 0.981778454 -0.2393953 -0.317390143 0.021233348 co_exo dolcan 0.001904987 cpiUSA 0.145721073 cpiCAN 0.191714766 $vecm_ML_l3_coAsExo dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 cpiUSA.l2 cpiCAN.l2 dolcan 1.1539792 -0.002518903 -0.000452376 -0.1991885 0.00455231 -0.007095438 cpiUSA 0.8173044 1.464441307 -0.051242915 -1.3503573 -0.49058658 0.122369313 cpiCAN 0.5794588 0.259368524 0.961188437 -0.8145152 -0.26212171 0.214718401 dolcan.l3 cpiUSA.l3 cpiCAN.l3 dolcan.l4 cpiUSA.l4 dolcan 0.06142721 -0.004267441 0.006334268 -0.0197858 0.002360235 cpiUSA 0.09812765 0.028354590 0.020850557 0.3954077 -0.000811550 cpiCAN -0.47758269 0.003712891 -0.035834903 0.6062154 0.002804600 cpiCAN.l4 co_exo dolcan 0.001070038 0.00996184 cpiUSA -0.093566410 0.17719382 cpiCAN -0.144352463 0.28464387 $vecm_ML_l1_LRco constant dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 cpiUSA.l2 dolcan 0.003806391 1.1581094 -0.00300379 -0.000703869 -0.1587288 0.00299679 cpiUSA 0.244795090 0.5212142 1.47955606 -0.037031003 -0.5610538 -0.48000626 cpiCAN 0.317062742 0.2101838 0.29113210 0.991469547 -0.2617847 -0.29171520 cpiCAN.l2 dolcan 0.000698747 cpiUSA 0.036701610 cpiCAN 0.008103817 $vecm_ML_l1_LRc_exo constant dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 cpiUSA.l2 dolcan 0.004371135 1.1614878 -0.003724635 -0.000736487 -0.1623843 0.003725519 cpiUSA 0.260149508 0.5571610 1.472195861 -0.036837402 -0.6105160 -0.472143268 cpiCAN 0.332731120 0.2000297 0.290806526 0.991623803 -0.2682708 -0.290739259 cpiCAN.l2 co_exo dolcan 0.000723208 0.000801118 cpiUSA 0.036047113 0.009887057 cpiCAN 0.007365418 0.000834428 $vecm_ML_l1_LRtr constant Trend dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan -0.001525362 -0.000041820 1.15695006 -0.003001191 -0.001011491 cpiUSA 0.056415156 -0.000919551 0.51359124 1.481683767 -0.034045968 cpiCAN -0.411104860 -0.006575707 0.05973818 0.317000585 0.935611700 dolcan.l2 cpiUSA.l2 cpiCAN.l2 dolcan -0.15676381 0.003190914 0.000966438 cpiUSA -0.50949599 -0.477512123 0.033055324 cpiCAN -0.03045308 -0.287169175 0.057304214 $vecm_ML_l1_LRtr_exo constant Trend dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan -0.002211648 -0.000052372 1.16043324 -0.003499255 -0.001086824 cpiUSA 0.053418502 -0.000995013 0.54429007 1.477117233 -0.034496349 cpiCAN -0.389244734 -0.006538773 0.05256236 0.314696366 0.935935009 dolcan.l2 cpiUSA.l2 cpiCAN.l2 co_exo dolcan -0.16035291 0.003741356 0.001026514 0.000783667 cpiUSA -0.54276393 -0.472517536 0.033350523 0.007054486 cpiCAN -0.04253324 -0.284469244 0.056535140 0.001720627 $vecm_ML_l1_LRtr_noCo Trend dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 cpiUSA.l2 dolcan -0.000039231 1.1561256 -0.003202524 -0.001106749 -0.1568527 0.00338676 cpiUSA -0.002235032 0.4810206 1.500745400 -0.047739658 -0.5224463 -0.49024939 cpiCAN -0.003262537 0.0465592 0.275207707 0.958192407 -0.1070294 -0.25988640 cpiCAN.l2 dolcan 0.001057004 cpiUSA 0.044905637 cpiCAN 0.037670697 $vecm_ML_l1_LRbo constant Trend dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 dolcan 0.000370399 -0.000037414 1.15598761 -0.003258196 -0.001108894 -0.1568747 cpiUSA 0.021019059 -0.002123157 0.47585012 1.498619849 -0.047398845 -0.5261923 cpiCAN 0.030452116 -0.003076000 0.04648799 0.275012548 0.959976860 -0.1194230 cpiUSA.l2 cpiCAN.l2 dolcan 0.003435533 0.001059806 cpiUSA -0.488556527 0.044613218 cpiCAN -0.260432949 0.035987363 $vecm_ML_l1_LRbo_exo constant Trend dolcan.l1 cpiUSA.l1 cpiCAN.l1 dolcan.l2 dolcan 0.000699801 -0.000039673 1.15937636 -0.003961495 -0.001150304 -0.1605561 cpiUSA 0.037162547 -0.002106810 0.51077058 1.491030633 -0.047255359 -0.5734187 cpiCAN 0.053091793 -0.003009866 0.04243542 0.274076996 0.960685073 -0.1319369 cpiUSA.l2 cpiCAN.l2 co_exo dolcan 0.004158054 0.00109032 0.000811670 cpiUSA -0.480592492 0.04406994 0.009540133 cpiCAN -0.259164681 0.03476411 0.001599118 > > ### fevd > vecm_all_no_l0 <- vecm_all[-grep("l0", names(vecm_all))] ## does not work for these models > lapply(vecm_all_no_l0, function(x) sapply(fevd(x, n.ahead=2), head)) $vecm_OLS_l1_co dolcan cpiUSA cpiCAN [1,] 1.000000e+00 0.0004953577 0.002202996 [2,] 9.994758e-01 0.0002601636 0.001348883 [3,] 0.000000e+00 0.9995046423 0.078123560 [4,] 5.240801e-04 0.9990011083 0.146779492 [5,] 0.000000e+00 0.0000000000 0.919673444 [6,] 8.286452e-08 0.0007387281 0.851871625 $vecm_OLS_l3_co dolcan cpiUSA cpiCAN [1,] 1.000000e+00 4.511238e-05 0.0005469472 [2,] 9.997223e-01 1.411224e-03 0.0004967689 [3,] 0.000000e+00 9.999549e-01 0.0629182789 [4,] 2.621134e-04 9.968898e-01 0.1160643308 [5,] 0.000000e+00 0.000000e+00 0.9365347739 [6,] 1.556645e-05 1.698953e-03 0.8834389002 $vecm_OLS_l3_co_betaGiven dolcan cpiUSA cpiCAN [1,] 1.000000e+00 8.178274e-05 0.0008838509 [2,] 9.996769e-01 1.216365e-03 0.0004760609 [3,] 0.000000e+00 9.999182e-01 0.0618273957 [4,] 3.229800e-04 9.969647e-01 0.1139442321 [5,] 0.000000e+00 0.000000e+00 0.9372887534 [6,] 1.146984e-07 1.818960e-03 0.8855797070 $vecm_OLS_l1_tr dolcan cpiUSA cpiCAN [1,] 1.000000e+00 4.198326e-06 0.0007319773 [2,] 9.998962e-01 1.739212e-03 0.0004646834 [3,] 0.000000e+00 9.999958e-01 0.0928641551 [4,] 4.899332e-07 9.981576e-01 0.1831700419 [5,] 0.000000e+00 0.000000e+00 0.9064038676 [6,] 1.033601e-04 1.031743e-04 0.8163652747 $vecm_OLS_l1_bo dolcan cpiUSA cpiCAN [1,] 1.000000e+00 0.0008794998 0.003523137 [2,] 9.987564e-01 0.0002809446 0.002885637 [3,] 0.000000e+00 0.9991205002 0.076028091 [4,] 1.184047e-03 0.9988277569 0.141186394 [5,] 0.000000e+00 0.0000000000 0.920448772 [6,] 5.955196e-05 0.0008912985 0.855927969 $vecm_OLS_l1_no dolcan cpiUSA cpiCAN [1,] 1.0000000000 0.0003785428 0.0001548295 [2,] 0.9992319823 0.0036826722 0.0011640207 [3,] 0.0000000000 0.9996214572 0.1463178362 [4,] 0.0004698865 0.9950329038 0.3190450444 [5,] 0.0000000000 0.0000000000 0.8535273343 [6,] 0.0002981312 0.0012844240 0.6797909349 $vecm_OLS_l1_coAsExo dolcan cpiUSA cpiCAN [1,] 1.000000e+00 0.0089381700 0.003068827 [2,] 9.991216e-01 0.0126071320 0.005539306 [3,] 0.000000e+00 0.9910618300 0.285690158 [4,] 8.783111e-04 0.9869185239 0.377048764 [5,] 0.000000e+00 0.0000000000 0.711241015 [6,] 8.987644e-08 0.0004743441 0.617411931 $vecm_OLS_l3_coAsExo dolcan cpiUSA cpiCAN [1,] 1.000000e+00 0.023838658 0.008013766 [2,] 9.996513e-01 0.033548347 0.015696032 [3,] 0.000000e+00 0.976161342 0.166107249 [4,] 3.336180e-04 0.965261351 0.239227578 [5,] 0.000000e+00 0.000000000 0.825878985 [6,] 1.509383e-05 0.001190302 0.745076390 $vecm_OLS_l1_LRco dolcan cpiUSA cpiCAN [1,] 1.0000000000 0.0001942054 0.0001945945 [2,] 0.9994786347 0.0027418886 0.0008757444 [3,] 0.0000000000 0.9998057946 0.1563621437 [4,] 0.0002334223 0.9951112531 0.3330422066 [5,] 0.0000000000 0.0000000000 0.8434432618 [6,] 0.0002879430 0.0021468582 0.6660820491 $vecm_OLS_l1_LRtr dolcan cpiUSA cpiCAN [1,] 1.0000000000 0.0007397561 0.004061958 [2,] 0.9988333946 0.0002442078 0.003556396 [3,] 0.0000000000 0.9992602439 0.084358520 [4,] 0.0010125091 0.9994174093 0.153504661 [5,] 0.0000000000 0.0000000000 0.911579523 [6,] 0.0001540963 0.0003383828 0.842938943 $vecm_OLS_l1_LRtr_noCo dolcan cpiUSA cpiCAN [1,] 1.0000000000 0.0004152126 0.0005249545 [2,] 0.9993458275 0.0038641791 0.0006294305 [3,] 0.0000000000 0.9995847874 0.1571475438 [4,] 0.0005456025 0.9939147522 0.3310807612 [5,] 0.0000000000 0.0000000000 0.8423275017 [6,] 0.0001085699 0.0022210687 0.6682898083 $vecm_OLS_l1_LRbo dolcan cpiUSA cpiCAN [1,] 1.0000000000 0.0002117793 0.0002313897 [2,] 0.9994816938 0.0028465924 0.0008263752 [3,] 0.0000000000 0.9997882207 0.1559355173 [4,] 0.0002605582 0.9950299226 0.3318084171 [5,] 0.0000000000 0.0000000000 0.8438330929 [6,] 0.0002577480 0.0021234851 0.6673652077 $vecm_ML_l1_co dolcan cpiUSA cpiCAN [1,] 1.000000e+00 0.0005840363 0.002617406 [2,] 9.994411e-01 0.0002441018 0.001798914 [3,] 0.000000e+00 0.9994159637 0.077360877 [4,] 5.545545e-04 0.9989627047 0.144578617 [5,] 0.000000e+00 0.0000000000 0.920021717 [6,] 4.338941e-06 0.0007931936 0.853622469 $vecm_ML_l3_co dolcan cpiUSA cpiCAN [1,] 1.000000e+00 0.0001882591 0.0013965021 [2,] 9.995121e-01 0.0008633721 0.0007096145 [3,] 0.000000e+00 0.9998117409 0.0614719950 [4,] 4.599807e-04 0.9973196311 0.1128089445 [5,] 0.000000e+00 0.0000000000 0.9371315029 [6,] 2.790877e-05 0.0018169967 0.8864814409 $vecm_ML_l1_tr dolcan cpiUSA cpiCAN [1,] 1.0000000000 0.0010816287 0.004738467 [2,] 0.9988752751 0.0003579198 0.004608198 [3,] 0.0000000000 0.9989183713 0.074017683 [4,] 0.0009834935 0.9984730713 0.138231992 [5,] 0.0000000000 0.0000000000 0.921243850 [6,] 0.0001412313 0.0011690089 0.857159810 $vecm_ML_l1_bo dolcan cpiUSA cpiCAN [1,] 1.0000000000 0.0007128755 0.004710494 [2,] 0.9991348663 0.0002508908 0.004534253 [3,] 0.0000000000 0.9992871245 0.081285092 [4,] 0.0007070310 0.9990539107 0.152284979 [5,] 0.0000000000 0.0000000000 0.914004414 [6,] 0.0001581026 0.0006951985 0.843180768 $vecm_ML_l1_no dolcan cpiUSA cpiCAN [1,] 1.000000e+00 0.0001270476 0.002225413 [2,] 9.998941e-01 0.0006216776 0.001343737 [3,] 0.000000e+00 0.9998729524 0.078090598 [4,] 1.046650e-04 0.9986649529 0.145921070 [5,] 0.000000e+00 0.0000000000 0.919683988 [6,] 1.268940e-06 0.0007133695 0.852735192 $vecm_ML_l1_coAsExo dolcan cpiUSA cpiCAN [1,] 1.000000e+00 0.0069058588 0.002837923 [2,] 9.989336e-01 0.0099141986 0.004572657 [3,] 0.000000e+00 0.9930941412 0.341169893 [4,] 1.061365e-03 0.9895806142 0.426728953 [5,] 0.000000e+00 0.0000000000 0.655992184 [6,] 5.013385e-06 0.0005051872 0.568698391 $vecm_ML_l3_coAsExo dolcan cpiUSA cpiCAN [1,] 1.000000e+00 0.21186543 0.2122239 [2,] 9.993386e-01 0.22593508 0.2314704 [3,] 0.000000e+00 0.78813457 0.2866936 [4,] 6.379083e-04 0.77301111 0.3297472 [5,] 0.000000e+00 0.00000000 0.5010825 [6,] 2.346247e-05 0.00105381 0.4387825 $vecm_ML_l1_LRco dolcan cpiUSA cpiCAN [1,] 1.000000e+00 0.0008353965 0.003761481 [2,] 9.992342e-01 0.0002687912 0.003204012 [3,] 0.000000e+00 0.9991646035 0.074268611 [4,] 6.974813e-04 0.9987947828 0.135111330 [5,] 0.000000e+00 0.0000000000 0.921969908 [6,] 6.834014e-05 0.0009364260 0.861684658 $vecm_ML_l1_LRc_exo dolcan cpiUSA cpiCAN [1,] 1.000000e+00 0.0008852636 0.003861438 [2,] 9.988858e-01 0.0002915699 0.003330379 [3,] 0.000000e+00 0.9991147364 0.074373860 [4,] 1.039633e-03 0.9987759337 0.135162495 [5,] 0.000000e+00 0.0000000000 0.921764702 [6,] 7.454567e-05 0.0009324964 0.861507126 $vecm_ML_l1_LRtr dolcan cpiUSA cpiCAN [1,] 1.0000000000 0.0008383930 0.004622896 [2,] 0.9991060377 0.0002674208 0.004446579 [3,] 0.0000000000 0.9991616070 0.081206678 [4,] 0.0007605316 0.9989919348 0.153139668 [5,] 0.0000000000 0.0000000000 0.914170426 [6,] 0.0001334306 0.0007406444 0.842413753 $vecm_ML_l1_LRtr_exo dolcan cpiUSA cpiCAN [1,] 1.0000000000 0.0008492915 0.004748620 [2,] 0.9988370514 0.0002774028 0.004594295 [3,] 0.0000000000 0.9991507085 0.080970158 [4,] 0.0010094269 0.9989584440 0.152204864 [5,] 0.0000000000 0.0000000000 0.914281222 [6,] 0.0001535217 0.0007641532 0.843200841 $vecm_ML_l1_LRtr_noCo dolcan cpiUSA cpiCAN [1,] 1.0000000000 0.0009664943 0.004847318 [2,] 0.9989704234 0.0003047089 0.004759306 [3,] 0.0000000000 0.9990335057 0.069680993 [4,] 0.0008648758 0.9982305339 0.127606879 [5,] 0.0000000000 0.0000000000 0.925471689 [6,] 0.0001647008 0.0014647572 0.867633814 $vecm_ML_l1_LRbo dolcan cpiUSA cpiCAN [1,] 1.0000000000 0.001000396 0.004861597 [2,] 0.9989432018 0.000318402 0.004780263 [3,] 0.0000000000 0.998999604 0.069713166 [4,] 0.0008911556 0.998230385 0.127463548 [5,] 0.0000000000 0.000000000 0.925425237 [6,] 0.0001656427 0.001451213 0.867756189 $vecm_ML_l1_LRbo_exo dolcan cpiUSA cpiCAN [1,] 1.0000000000 0.0010483635 0.004957566 [2,] 0.9985548746 0.0003320111 0.004896891 [3,] 0.0000000000 0.9989516365 0.069831614 [4,] 0.0012674627 0.9982145782 0.127335193 [5,] 0.0000000000 0.0000000000 0.925210821 [6,] 0.0001776627 0.0014534107 0.867767916 Warning messages: 1: In fevd.nlVar(x, n.ahead = 2) : Not guaranted to work with this specification of deterministic terms. 2: In fevd.nlVar(x, n.ahead = 2) : Not guaranted to work with this specification of deterministic terms. 3: In fevd.nlVar(x, n.ahead = 2) : Not guaranted to work with this specification of deterministic terms. 4: In fevd.nlVar(x, n.ahead = 2) : Not guaranted to work with this specification of deterministic terms. 5: In fevd.nlVar(x, n.ahead = 2) : Not guaranted to work with this specification of deterministic terms. 6: In fevd.nlVar(x, n.ahead = 2) : Not guaranted to work with this specification of deterministic terms. 7: In fevd.nlVar(x, n.ahead = 2) : Not guaranted to work with this specification of deterministic terms. 8: In fevd.nlVar(x, n.ahead = 2) : Not guaranted to work with this specification of deterministic terms. 9: In fevd.nlVar(x, n.ahead = 2) : Not guaranted to work with this specification of deterministic terms. > > ### irf > vecm_irf <- vecm_all[-grep("l1_no|exo|Exo|l0|LR", names(vecm_all))] ## does not work for these models > lapply(vecm_irf, function(x) sapply(irf(x, runs=1)$irf,head,2)) $vecm_OLS_l1_co dolcan cpiUSA cpiCAN [1,] 0.012842448 0.0000000000 0.000000e+00 [2,] 0.014858821 -0.0004497228 5.654970e-06 [3,] -0.003516423 0.1579552248 0.000000e+00 [4,] 0.002846935 0.2316329747 -7.623963e-03 [5,] -0.011274139 0.0671378659 2.303527e-01 [6,] -0.006198715 0.1162100835 2.268841e-01 $vecm_OLS_l3_co dolcan cpiUSA cpiCAN [1,] 0.012892041 0.0000000000 0.000000e+00 [2,] 0.014953307 -0.0003196901 7.790752e-05 [3,] -0.001054116 0.1569389537 0.000000e+00 [4,] 0.010338210 0.2272755782 -1.140208e-02 [5,] -0.005530746 0.0593197654 2.288616e-01 [6,] 0.005077561 0.0982422857 2.187932e-01 $vecm_OLS_l3_co_betaGiven dolcan cpiUSA cpiCAN [1,] 0.012894679 0.0000000000 0.000000e+00 [2,] 0.014961681 -0.0003550256 -6.690376e-06 [3,] -0.001418129 0.1568075763 0.000000e+00 [4,] 0.009526863 0.2268257267 -1.177846e-02 [5,] -0.007024848 0.0587540621 2.287621e-01 [6,] 0.002102478 0.0970434880 2.183805e-01 $vecm_OLS_l1_tr dolcan cpiUSA cpiCAN [1,] 0.0128854258 0.000000e+00 0.0000000000 [2,] 0.0149877062 1.383546e-05 0.0002009562 [3,] 0.0003296369 1.608781e-01 0.0000000000 [4,] 0.0122454749 2.454382e-01 -0.0029836116 [5,] -0.0065990443 7.432866e-02 0.2322165253 [6,] 0.0043115162 1.377258e-01 0.2350282226 $vecm_OLS_l1_bo dolcan cpiUSA cpiCAN [1,] 0.0127447895 0.0000000000 0.0000000000 [2,] 0.0145348262 -0.0006655964 -0.0001492707 [3,] -0.0046864859 0.1579568198 0.0000000000 [4,] 0.0001303127 0.2306392729 -0.0083505758 [5,] -0.0142267393 0.0660887650 0.2299537022 [6,] -0.0120832004 0.1125998697 0.2246412146 $vecm_ML_l1_co dolcan cpiUSA cpiCAN [1,] 0.012854199 0.0000000000 0.000000e+00 [2,] 0.014897310 -0.0004634884 -4.099762e-05 [3,] -0.003816347 0.1578705515 0.000000e+00 [4,] 0.002140874 0.2311657160 -7.887949e-03 [5,] -0.012270667 0.0667103634 2.300550e-01 [6,] -0.008274749 0.1146909551 2.258630e-01 $vecm_ML_l3_co dolcan cpiUSA cpiCAN [1,] 0.012856198 0.0000000000 0.0000000000 [2,] 0.014845206 -0.0004212881 -0.0001037719 [3,] -0.002150235 0.1566993174 0.0000000000 [4,] 0.007812302 0.2264663586 -0.0117547631 [5,] -0.008855245 0.0587514293 0.2293929420 [6,] -0.001619626 0.0971140652 0.2204898433 $vecm_ML_l1_tr dolcan cpiUSA cpiCAN [1,] 0.012843801 0.0000000000 0.0000000000 [2,] 0.014877880 -0.0006167379 -0.0002337117 [3,] -0.005218884 0.1586001278 0.0000000000 [4,] -0.001143877 0.2334037149 -0.0096556746 [5,] -0.016266447 0.0642897148 0.2268094040 [6,] -0.016165544 0.1079022965 0.2153671486 $vecm_ML_l1_bo dolcan cpiUSA cpiCAN [1,] 0.012865777 0.0000000000 0.0000000000 [2,] 0.014898500 -0.0005236479 -0.0002476223 [3,] -0.004218301 0.1579340753 0.0000000000 [4,] 0.001359118 0.2308005181 -0.0073772890 [5,] -0.016165373 0.0671518401 0.2251783408 [6,] -0.015822647 0.1125854534 0.2108195039 > > ## predict > vecm_all_pred <- vecm_all[-grep("_bo|_no|_noCo|LRbo|coAsExo|exo", names(vecm_all))] > lapply(vecm_all_pred, predict, n.ahead=2) $vecm_OLS_l1_co dolcan cpiUSA cpiCAN 325 1.476308 110.5595 107.0770 326 1.479972 110.7224 107.1904 $vecm_OLS_l3_co dolcan cpiUSA cpiCAN 325 1.478036 110.5513 107.0424 326 1.481846 110.6971 107.1236 $vecm_OLS_l3_co_betaGiven dolcan cpiUSA cpiCAN 325 1.477189 110.5506 107.0512 326 1.479996 110.6942 107.1407 $vecm_OLS_l1_tr dolcan cpiUSA cpiCAN 325 1.475067 110.5314 107.0389 326 1.477538 110.6580 107.1112 $vecm_OLS_l1_LRco dolcan cpiUSA cpiCAN 325 1.473073 110.4626 107.0183 326 1.473116 110.4744 107.0314 $vecm_OLS_l1_LRtr dolcan cpiUSA cpiCAN 325 1.474540 110.5871 107.1626 326 1.475733 110.7876 107.3676 $vecm_OLS_l0_co dolcan cpiUSA cpiCAN 325 1.475143 110.6690 107.1521 326 1.478096 110.8878 107.3037 $vecm_OLS_l0_tr dolcan cpiUSA cpiCAN 325 1.474490 110.6363 107.1189 326 1.476787 110.8221 107.2370 $vecm_ML_l0_co dolcan cpiUSA cpiCAN 325 1.473371 110.6689 107.1825 326 1.474541 110.8877 107.3646 $vecm_ML_l0_tr dolcan cpiUSA cpiCAN 325 1.473434 110.6408 107.1217 326 1.474665 110.8308 107.2423 $vecm_ML_l0_LRco dolcan cpiUSA cpiCAN 325 1.473464 110.6634 107.2122 326 1.474726 110.8765 107.4241 $vecm_ML_l0_LRtr dolcan cpiUSA cpiCAN 325 1.473370 110.6688 107.1822 326 1.474538 110.8874 107.3640 $vecm_ML_l1_co dolcan cpiUSA cpiCAN 325 1.475616 110.5636 107.0919 326 1.478481 110.7315 107.2198 $vecm_ML_l3_co dolcan cpiUSA cpiCAN 325 1.476948 110.5576 107.0820 326 1.479463 110.7103 107.2041 $vecm_ML_l1_tr dolcan cpiUSA cpiCAN 325 1.474616 110.5465 107.0599 326 1.476325 110.6882 107.1456 $vecm_ML_l1_LRco dolcan cpiUSA cpiCAN 325 1.474465 110.5502 107.1315 326 1.476003 110.6957 107.2911 $vecm_ML_l1_LRtr dolcan cpiUSA cpiCAN 325 1.474231 110.5693 107.0394 326 1.475485 110.7458 107.1131 > lapply(vecm_all_pred, function(x) sapply(tsDyn:::predictOld.VECM(x, n.ahead=2)$fcst, function(y) y[,"fcst"])) $vecm_OLS_l1_co dolcan cpiUSA cpiCAN [1,] 1.476308 110.5595 107.0770 [2,] 1.479972 110.7224 107.1904 $vecm_OLS_l3_co dolcan cpiUSA cpiCAN [1,] 1.478036 110.5513 107.0424 [2,] 1.481846 110.6971 107.1236 $vecm_OLS_l3_co_betaGiven dolcan cpiUSA cpiCAN [1,] 1.477189 110.5506 107.0512 [2,] 1.479996 110.6942 107.1407 $vecm_OLS_l1_tr dolcan cpiUSA cpiCAN [1,] 1.473425 110.3431 106.8289 [2,] 1.473858 110.1818 106.6134 $vecm_OLS_l1_LRco dolcan cpiUSA cpiCAN [1,] 1.473073 110.4626 107.0183 [2,] 1.473116 110.4744 107.0314 $vecm_OLS_l1_LRtr dolcan cpiUSA cpiCAN [1,] 1.474400 110.5871 107.1615 [2,] 1.475435 110.7875 107.3654 $vecm_OLS_l0_co dolcan cpiUSA cpiCAN [1,] 1.475143 110.6690 107.1521 [2,] 1.478096 110.8878 107.3037 $vecm_OLS_l0_tr dolcan cpiUSA cpiCAN [1,] 1.47227 110.2374 106.7457 [2,] 1.47234 110.0256 106.4924 $vecm_ML_l0_co dolcan cpiUSA cpiCAN [1,] 1.473371 110.6689 107.1825 [2,] 1.474541 110.8877 107.3646 $vecm_ML_l0_tr dolcan cpiUSA cpiCAN [1,] 1.480206 111.8060 108.6398 [2,] 1.488302 113.1773 110.2982 $vecm_ML_l0_LRco dolcan cpiUSA cpiCAN [1,] 1.473464 110.6634 107.2122 [2,] 1.474726 110.8765 107.4241 $vecm_ML_l0_LRtr dolcan cpiUSA cpiCAN [1,] 1.473370 110.6688 107.1822 [2,] 1.474538 110.8874 107.3640 $vecm_ML_l1_co dolcan cpiUSA cpiCAN [1,] 1.475616 110.5636 107.0919 [2,] 1.478481 110.7315 107.2198 $vecm_ML_l3_co dolcan cpiUSA cpiCAN [1,] 1.476948 110.5576 107.0820 [2,] 1.479463 110.7103 107.2041 $vecm_ML_l1_tr dolcan cpiUSA cpiCAN [1,] 1.485849 111.1857 108.2916 [2,] 1.497087 112.2339 109.7401 $vecm_ML_l1_LRco dolcan cpiUSA cpiCAN [1,] 1.474465 110.5502 107.1315 [2,] 1.476003 110.6957 107.2911 $vecm_ML_l1_LRtr dolcan cpiUSA cpiCAN [1,] 1.474189 110.5684 107.0328 [2,] 1.475404 110.7437 107.1001 > > lapply(vecm_all_no_l0, function(x) predict_rolling(x,nroll=2)$pred) $vecm_OLS_l1_co dolcan cpiUSA cpiCAN 1 1.480585 110.5887 107.1461 2 1.469095 110.5972 107.0019 $vecm_OLS_l3_co dolcan cpiUSA cpiCAN 1 1.481194 110.6156 107.1979 2 1.468014 110.6228 107.0398 $vecm_OLS_l3_co_betaGiven dolcan cpiUSA cpiCAN 1 1.481194 110.6156 107.1979 2 1.468014 110.6228 107.0398 $vecm_OLS_l1_tr dolcan cpiUSA cpiCAN 1 1.479810 110.5710 107.1221 2 1.467708 110.5632 106.9564 $vecm_OLS_l1_bo dolcan cpiUSA cpiCAN 1 1.481046 110.5911 107.1518 2 1.470128 110.6024 107.0147 $vecm_OLS_l1_no dolcan cpiUSA cpiCAN 1 1.479264 110.5075 107.0518 2 1.466773 110.4544 106.8359 $vecm_OLS_l1_coAsExo dolcan cpiUSA cpiCAN 1 1.479264 110.5075 107.0518 2 1.466773 110.4544 106.8359 $vecm_OLS_l3_coAsExo dolcan cpiUSA cpiCAN 1 1.480672 110.6000 107.1835 2 1.466571 110.5795 106.9997 $vecm_OLS_l1_LRco dolcan cpiUSA cpiCAN 1 1.477714 110.5405 107.1498 2 1.465461 110.4848 106.9249 $vecm_OLS_l1_LRtr dolcan cpiUSA cpiCAN 1 1.478453 110.6132 107.2263 2 1.467524 110.6205 107.0819 $vecm_OLS_l1_LRtr_noCo dolcan cpiUSA cpiCAN 1 1.477196 110.5499 107.1487 2 1.464977 110.4922 106.9248 $vecm_OLS_l1_LRbo dolcan cpiUSA cpiCAN 1 1.477560 110.5411 107.1507 2 1.465325 110.4852 106.9259 $vecm_ML_l1_co dolcan cpiUSA cpiCAN 1 1.479862 110.5931 107.1624 2 1.468371 110.6024 107.0209 $vecm_ML_l3_co dolcan cpiUSA cpiCAN 1 1.479789 110.6225 107.2529 2 1.467058 110.6304 107.0900 $vecm_ML_l1_tr dolcan cpiUSA cpiCAN 1 1.478796 110.5793 107.1285 2 1.467600 110.5919 107.0026 $vecm_ML_l1_bo dolcan cpiUSA cpiCAN 1 1.478631 110.5922 107.1138 2 1.467390 110.6014 106.9900 $vecm_ML_l1_no dolcan cpiUSA cpiCAN 1 1.478587 110.5890 107.2101 2 1.466826 110.5933 107.0667 $vecm_ML_l1_coAsExo dolcan cpiUSA cpiCAN 1 1.478587 110.5890 107.2101 2 1.466826 110.5933 107.0667 $vecm_ML_l3_coAsExo dolcan cpiUSA cpiCAN 1 1.480318 110.6272 107.2647 2 1.467155 110.6337 107.1042 $vecm_ML_l1_LRco dolcan cpiUSA cpiCAN 1 1.478697 110.5804 107.1969 2 1.467340 110.5911 107.0589 $vecm_ML_l1_LRc_exo dolcan cpiUSA cpiCAN 1 1.478697 110.5804 107.1969 2 1.467340 110.5911 107.0589 $vecm_ML_l1_LRtr dolcan cpiUSA cpiCAN 1 1.478493 110.5995 107.1132 2 1.467211 110.6096 106.9894 $vecm_ML_l1_LRtr_exo dolcan cpiUSA cpiCAN 1 1.478493 110.5995 107.1132 2 1.467211 110.6096 106.9894 $vecm_ML_l1_LRtr_noCo dolcan cpiUSA cpiCAN 1 1.478356 110.5568 107.1692 2 1.467138 110.5689 107.0438 $vecm_ML_l1_LRbo dolcan cpiUSA cpiCAN 1 1.478382 110.5582 107.1709 2 1.467177 110.5706 107.0449 $vecm_ML_l1_LRbo_exo dolcan cpiUSA cpiCAN 1 1.478382 110.5582 107.1709 2 1.467177 110.5706 107.0449 > lapply(vecm_all_no_l0, function(x) predict_rolling(x,nroll=2, refit.every=1)$pred) $vecm_OLS_l1_co dolcan cpiUSA cpiCAN 1 1.480585 110.5887 107.1461 2 1.468852 110.5950 106.9981 $vecm_OLS_l3_co dolcan cpiUSA cpiCAN 1 1.481194 110.6156 107.1979 2 1.467823 110.6207 107.0362 $vecm_OLS_l3_co_betaGiven dolcan cpiUSA cpiCAN 1 1.481194 110.6156 107.1979 2 1.467823 110.6207 107.0362 $vecm_OLS_l1_tr dolcan cpiUSA cpiCAN 1 1.479810 110.5710 107.1221 2 1.467513 110.5629 106.9552 $vecm_OLS_l1_bo dolcan cpiUSA cpiCAN 1 1.481046 110.5911 107.1518 2 1.469809 110.5997 107.0097 $vecm_OLS_l1_no dolcan cpiUSA cpiCAN 1 1.479264 110.5075 107.0518 2 1.466616 110.4536 106.8346 $vecm_OLS_l1_coAsExo dolcan cpiUSA cpiCAN 1 1.479264 110.5075 107.0518 2 1.466616 110.4536 106.8346 $vecm_OLS_l3_coAsExo dolcan cpiUSA cpiCAN 1 1.480672 110.6000 107.1835 2 1.466388 110.5775 106.9963 $vecm_OLS_l1_LRco dolcan cpiUSA cpiCAN 1 1.477714 110.5405 107.1498 2 1.465450 110.4847 106.9246 $vecm_OLS_l1_LRtr dolcan cpiUSA cpiCAN 1 1.478453 110.6132 107.2263 2 1.467334 110.6194 107.0789 $vecm_OLS_l1_LRtr_noCo dolcan cpiUSA cpiCAN 1 1.477196 110.5499 107.1487 2 1.464859 110.4929 106.9246 $vecm_OLS_l1_LRbo dolcan cpiUSA cpiCAN 1 1.477560 110.5411 107.1507 2 1.465299 110.4851 106.9257 $vecm_ML_l1_co dolcan cpiUSA cpiCAN 1 1.479862 110.5931 107.1624 2 1.468171 110.5994 107.0151 $vecm_ML_l3_co dolcan cpiUSA cpiCAN 1 1.479789 110.6225 107.2529 2 1.466549 110.6244 107.0731 $vecm_ML_l1_tr dolcan cpiUSA cpiCAN 1 1.478796 110.5793 107.1285 2 1.467371 110.5860 106.9919 $vecm_ML_l1_bo dolcan cpiUSA cpiCAN 1 1.478631 110.5922 107.1138 2 1.467118 110.5998 106.9784 $vecm_ML_l1_no dolcan cpiUSA cpiCAN 1 1.478587 110.5890 107.2101 2 1.466702 110.5882 107.0601 $vecm_ML_l1_coAsExo dolcan cpiUSA cpiCAN 1 1.478587 110.5890 107.2101 2 1.466702 110.5882 107.0601 $vecm_ML_l3_coAsExo dolcan cpiUSA cpiCAN 1 1.480318 110.6272 107.2647 2 1.466949 110.6284 107.0986 $vecm_ML_l1_LRco dolcan cpiUSA cpiCAN 1 1.478697 110.5804 107.1969 2 1.467213 110.5862 107.0528 $vecm_ML_l1_LRc_exo dolcan cpiUSA cpiCAN 1 1.478697 110.5804 107.1969 2 1.467213 110.5862 107.0528 $vecm_ML_l1_LRtr dolcan cpiUSA cpiCAN 1 1.478493 110.5995 107.1132 2 1.466984 110.6060 106.9767 $vecm_ML_l1_LRtr_exo dolcan cpiUSA cpiCAN 1 1.478493 110.5995 107.1132 2 1.466984 110.6060 106.9767 $vecm_ML_l1_LRtr_noCo dolcan cpiUSA cpiCAN 1 1.478356 110.5568 107.1692 2 1.466994 110.5618 107.0341 $vecm_ML_l1_LRbo dolcan cpiUSA cpiCAN 1 1.478382 110.5582 107.1709 2 1.467025 110.5632 107.0351 $vecm_ML_l1_LRbo_exo dolcan cpiUSA cpiCAN 1 1.478382 110.5582 107.1709 2 1.467025 110.5632 107.0351 > > ## VECM boot > options(warn=-1) > sapply(vecm_all, function(x) try(tsDyn:::TVECM.boot.check(x), silent=TRUE)) vecm_OLS_l1_co "TRUE" vecm_OLS_l3_co "TRUE" vecm_OLS_l3_co_betaGiven "TRUE" vecm_OLS_l1_tr "TRUE" vecm_OLS_l1_bo "TRUE" vecm_OLS_l1_no "TRUE" vecm_OLS_l1_coAsExo "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle exo variables\n" vecm_OLS_l3_coAsExo "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle exo variables\n" vecm_OLS_l1_LRco "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle cases with LRinclude != 'none' \n" vecm_OLS_l1_LRtr "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle cases with LRinclude != 'none' \n" vecm_OLS_l1_LRtr_noCo "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle cases with LRinclude != 'none' \n" vecm_OLS_l1_LRbo "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle cases with LRinclude != 'none' \n" vecm_OLS_l0_co "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle case with lag = 0\n" vecm_OLS_l0_tr "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle case with lag = 0\n" vecm_ML_l0_co "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle case with lag = 0\n" vecm_ML_l0_tr "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle case with lag = 0\n" vecm_ML_l0_bo "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle case with lag = 0\n" vecm_ML_l0_no "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle case with lag = 0\n" vecm_ML_l0_LRco "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle cases with LRinclude != 'none' \n" vecm_ML_l0_LRtr "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle cases with LRinclude != 'none' \n" vecm_ML_l1_co "TRUE" vecm_ML_l3_co "TRUE" vecm_ML_l1_tr "TRUE" vecm_ML_l1_bo "TRUE" vecm_ML_l1_no "TRUE" vecm_ML_l1_coAsExo "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle exo variables\n" vecm_ML_l3_coAsExo "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle exo variables\n" vecm_ML_l1_LRco "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle cases with LRinclude != 'none' \n" vecm_ML_l1_LRc_exo "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle exo variables\n" vecm_ML_l1_LRtr "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle cases with LRinclude != 'none' \n" vecm_ML_l1_LRtr_exo "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle exo variables\n" vecm_ML_l1_LRtr_noCo "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle cases with LRinclude != 'none' \n" vecm_ML_l1_LRbo "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle cases with LRinclude != 'none' \n" vecm_ML_l1_LRbo_exo "Error in TVECM.boot(object, boot.scheme = \"check\", ...) : \n Cannot handle exo variables\n" > options(warn=0) > > vecm_all_noExo_noLRinc <- vecm_all[-grep("LR|exo|Exo|l0", names(vecm_all))] > sapply(vecm_all_noExo_noLRinc, tsDyn:::TVECM.boot.check) vecm_OLS_l1_co vecm_OLS_l3_co vecm_OLS_l3_co_betaGiven TRUE TRUE TRUE vecm_OLS_l1_tr vecm_OLS_l1_bo vecm_OLS_l1_no TRUE TRUE TRUE vecm_ML_l1_co vecm_ML_l3_co vecm_ML_l1_tr TRUE TRUE TRUE vecm_ML_l1_bo vecm_ML_l1_no TRUE TRUE > > > > ### CoefA, coefB, coefPI > lapply(vecm_all, coefB) $vecm_OLS_l1_co r1 dolcan 1.00000000 cpiUSA -0.05710189 cpiCAN 0.04101960 $vecm_OLS_l3_co r1 dolcan 1.00000000 cpiUSA -0.05710189 cpiCAN 0.04101960 $vecm_OLS_l3_co_betaGiven r1 dolcan 1.00 cpiUSA -0.10 cpiCAN 0.05 $vecm_OLS_l1_tr r1 dolcan 1.00000000 cpiUSA -0.05710189 cpiCAN 0.04101960 $vecm_OLS_l1_bo r1 dolcan 1.00000000 cpiUSA -0.05710189 cpiCAN 0.04101960 $vecm_OLS_l1_no r1 dolcan 1.00000000 cpiUSA -0.05710189 cpiCAN 0.04101960 $vecm_OLS_l1_coAsExo r1 dolcan 1.00000000 cpiUSA -0.05710189 cpiCAN 0.04101960 $vecm_OLS_l3_coAsExo r1 dolcan 1.00000000 cpiUSA -0.05710189 cpiCAN 0.04101960 $vecm_OLS_l1_LRco r1 dolcan 1.000000000 cpiUSA -0.014817492 cpiCAN 0.009676475 const -0.864518262 $vecm_OLS_l1_LRtr r1 dolcan 1.000000000 cpiUSA -0.053879406 cpiCAN 0.019452076 trend 0.007610433 $vecm_OLS_l1_LRtr_noCo r1 dolcan 1.000000000 cpiUSA -0.053879406 cpiCAN 0.019452076 trend 0.007610433 $vecm_OLS_l1_LRbo r1 dolcan 1.000000000 cpiUSA -0.019039918 cpiCAN 0.010627527 const -0.770704602 trend 0.000864578 $vecm_OLS_l0_co r1 dolcan 1.00000000 cpiUSA -0.05710189 cpiCAN 0.04101960 $vecm_OLS_l0_tr r1 dolcan 1.00000000 cpiUSA -0.05710189 cpiCAN 0.04101960 $vecm_ML_l0_co r1 dolcan 1.00000000 cpiUSA -0.02123402 cpiCAN 0.04020793 $vecm_ML_l0_tr r1 dolcan 1.00000000 cpiUSA -0.21897978 cpiCAN 0.07550665 $vecm_ML_l0_bo r1 dolcan 1.0000000 cpiUSA -0.3432729 cpiCAN 0.1102598 $vecm_ML_l0_no r1 dolcan 1.0000000000 cpiUSA -0.0077057431 cpiCAN 0.0002734381 $vecm_ML_l0_LRco r1 dolcan 1.00000000 cpiUSA -0.02193294 cpiCAN 0.02567844 const -3.32505090 $vecm_ML_l0_LRtr r1 dolcan 1.0000000000 cpiUSA -0.0220091730 cpiCAN 0.0404151067 trend 0.0001604596 $vecm_ML_l1_co r1 dolcan 1.00000000 cpiUSA -0.03933803 cpiCAN 0.02054510 $vecm_ML_l3_co r1 dolcan 1.00000000 cpiUSA -0.03537088 cpiCAN 0.04022154 $vecm_ML_l1_tr r1 dolcan 1.00000000 cpiUSA -0.22538833 cpiCAN 0.06081836 $vecm_ML_l1_bo r1 dolcan 1.000000 cpiUSA 1.650717 cpiCAN -0.428511 $vecm_ML_l1_no r1 dolcan 1.00000000 cpiUSA -0.01751714 cpiCAN 0.00875961 $vecm_ML_l1_coAsExo r1 dolcan 1.00000000 cpiUSA -0.03933803 cpiCAN 0.02054510 $vecm_ML_l3_coAsExo r1 dolcan 1.00000000 cpiUSA -0.03537088 cpiCAN 0.04022154 $vecm_ML_l1_LRco r1 dolcan 1.000000000 cpiUSA 0.011300229 cpiCAN 0.008267995 const -6.144517684 $vecm_ML_l1_LRc_exo r1 dolcan 1.0000000000 cpiUSA -0.0009857241 cpiCAN 0.0148118803 const -4.8758170001 $vecm_ML_l1_LRtr r1 dolcan 1.0000000 cpiUSA 1.0186548 cpiCAN -0.2419007 trend -0.2245410 $vecm_ML_l1_LRtr_exo r1 dolcan 1.0000000 cpiUSA 3.0139347 cpiCAN -0.7507985 trend -0.6519786 $vecm_ML_l1_LRtr_noCo r1 dolcan 1.00000000 cpiUSA -0.25336947 cpiCAN 0.06841211 trend 0.05395278 $vecm_ML_l1_LRbo r1 dolcan 1.00000000 cpiUSA -0.19989838 cpiCAN 0.05533385 const -0.41752374 trend 0.04217450 $vecm_ML_l1_LRbo_exo r1 dolcan 1.00000000 cpiUSA -0.16661529 cpiCAN 0.05084623 const -0.59319456 trend 0.03362924 > lapply(vecm_all, coefA) $vecm_OLS_l1_co ECT Equation dolcan -0.002537673 Equation cpiUSA 0.055320874 Equation cpiCAN 0.179057392 $vecm_OLS_l3_co ECT Equation dolcan -0.001338343 Equation cpiUSA 0.029339845 Equation cpiCAN 0.133099298 $vecm_OLS_l3_co_betaGiven ECT Equation dolcan 0.0002124546 Equation cpiUSA 0.0094968887 Equation cpiCAN 0.0341381280 $vecm_OLS_l1_tr ECT Equation dolcan -0.0007661059 Equation cpiUSA 0.2432039258 Equation cpiCAN 0.3894987881 $vecm_OLS_l1_bo ECT Equation dolcan -0.0175059946 Equation cpiUSA -0.0161621128 Equation cpiCAN 0.0003185219 $vecm_OLS_l1_no ECT Equation dolcan -0.002250595 Equation cpiUSA 0.072923859 Equation cpiCAN 0.199609825 $vecm_OLS_l1_coAsExo ECT Equation dolcan -0.002537673 Equation cpiUSA 0.055320874 Equation cpiCAN 0.179057392 $vecm_OLS_l3_coAsExo ECT Equation dolcan -0.001338343 Equation cpiUSA 0.029339845 Equation cpiCAN 0.133099298 $vecm_OLS_l1_LRco ECT Equation dolcan -0.019977546 Equation cpiUSA -0.009018453 Equation cpiCAN 0.214396024 $vecm_OLS_l1_LRtr ECT Equation dolcan -0.018347198 Equation cpiUSA -0.001166353 Equation cpiCAN -0.144023002 $vecm_OLS_l1_LRtr_noCo ECT Equation dolcan -0.01523687 Equation cpiUSA 0.15327753 Equation cpiCAN 0.04569339 $vecm_OLS_l1_LRbo ECT Equation dolcan -0.02042543 Equation cpiUSA 0.01429980 Equation cpiCAN 0.18825465 $vecm_OLS_l0_co ECT Equation dolcan -0.002780092 Equation cpiUSA 0.068255265 Equation cpiCAN 0.186186297 $vecm_OLS_l0_tr ECT Equation dolcan -0.0001422602 Equation cpiUSA 0.4799565924 Equation cpiCAN 0.5732976471 $vecm_ML_l0_co ECT Equation dolcan -0.0003507433 Equation cpiUSA -0.0436243553 Equation cpiCAN -0.0823639695 $vecm_ML_l0_tr ECT Equation dolcan -0.0005484774 Equation cpiUSA -0.0928989256 Equation cpiCAN -0.1123697005 $vecm_ML_l0_bo ECT Equation dolcan -0.001999161 Equation cpiUSA -0.019268819 Equation cpiCAN -0.100888273 $vecm_ML_l0_no ECT Equation dolcan 0.001869335 Equation cpiUSA 0.358828407 Equation cpiCAN 0.359559513 $vecm_ML_l0_LRco ECT Equation dolcan -0.0008273726 Equation cpiUSA -0.1396685110 Equation cpiCAN -0.1389057526 $vecm_ML_l0_LRtr ECT Equation dolcan -0.0003514011 Equation cpiUSA -0.0435803377 Equation cpiCAN -0.0824088721 $vecm_ML_l1_co ECT Equation dolcan -0.001130982 Equation cpiUSA 0.046105240 Equation cpiCAN 0.146594632 $vecm_ML_l3_co ECT Equation dolcan -0.003567929 Equation cpiUSA -0.039517521 Equation cpiCAN -0.106423797 $vecm_ML_l1_tr ECT Equation dolcan -0.0007704618 Equation cpiUSA -0.0437029488 Equation cpiCAN -0.0768177401 $vecm_ML_l1_bo ECT Equation dolcan 0.0002393194 Equation cpiUSA -0.0015111788 Equation cpiCAN 0.0177494843 $vecm_ML_l1_no ECT Equation dolcan 0.002204256 Equation cpiUSA 0.214731716 Equation cpiCAN 0.288265350 $vecm_ML_l1_coAsExo ECT Equation dolcan -0.001130982 Equation cpiUSA 0.046105240 Equation cpiCAN 0.146594632 $vecm_ML_l3_coAsExo ECT Equation dolcan -0.003567929 Equation cpiUSA -0.039517521 Equation cpiCAN -0.106423797 $vecm_ML_l1_LRco ECT Equation dolcan -0.0006194775 Equation cpiUSA -0.0398395940 Equation cpiCAN -0.0516009162 $vecm_ML_l1_LRc_exo ECT Equation dolcan -0.0008964929 Equation cpiUSA -0.0533550599 Equation cpiCAN -0.0682411008 $vecm_ML_l1_LRtr ECT Equation dolcan 0.0001862485 Equation cpiUSA 0.0040952483 Equation cpiCAN 0.0292851011 $vecm_ML_l1_LRtr_exo ECT Equation dolcan 8.032743e-05 Equation cpiUSA 1.526143e-03 Equation cpiCAN 1.002912e-02 $vecm_ML_l1_LRtr_noCo ECT Equation dolcan -0.000727143 Equation cpiUSA -0.041425715 Equation cpiCAN -0.060470225 $vecm_ML_l1_LRbo ECT Equation dolcan -0.0008871317 Equation cpiUSA -0.0503421884 Equation cpiCAN -0.0729350525 $vecm_ML_l1_LRbo_exo ECT Equation dolcan -0.001179716 Equation cpiUSA -0.062648158 Equation cpiCAN -0.089501483 > options(digits=6) > lapply(vecm_all, coefPI) $vecm_OLS_l1_co dolcan cpiUSA cpiCAN Equation dolcan -0.00253767 0.000144906 -0.000104094 Equation cpiUSA 0.05532087 -0.003158926 0.002269240 Equation cpiCAN 0.17905739 -0.010224515 0.007344862 $vecm_OLS_l3_co dolcan cpiUSA cpiCAN Equation dolcan -0.00133834 7.64219e-05 -5.48983e-05 Equation cpiUSA 0.02933984 -1.67536e-03 1.20351e-03 Equation cpiCAN 0.13309930 -7.60022e-03 5.45968e-03 $vecm_OLS_l3_co_betaGiven dolcan cpiUSA cpiCAN Equation dolcan 0.000212455 -2.12455e-05 1.06227e-05 Equation cpiUSA 0.009496889 -9.49689e-04 4.74844e-04 Equation cpiCAN 0.034138128 -3.41381e-03 1.70691e-03 $vecm_OLS_l1_tr dolcan cpiUSA cpiCAN Equation dolcan -0.000766106 4.37461e-05 -3.14254e-05 Equation cpiUSA 0.243203926 -1.38874e-02 9.97613e-03 Equation cpiCAN 0.389498788 -2.22411e-02 1.59771e-02 $vecm_OLS_l1_bo dolcan cpiUSA cpiCAN Equation dolcan -0.017505995 9.99625e-04 -7.18089e-04 Equation cpiUSA -0.016162113 9.22887e-04 -6.62963e-04 Equation cpiCAN 0.000318522 -1.81882e-05 1.30656e-05 $vecm_OLS_l1_no dolcan cpiUSA cpiCAN Equation dolcan -0.0022506 0.000128513 -9.23185e-05 Equation cpiUSA 0.0729239 -0.004164090 2.99131e-03 Equation cpiCAN 0.1996098 -0.011398098 8.18791e-03 $vecm_OLS_l1_coAsExo dolcan cpiUSA cpiCAN Equation dolcan -0.00253767 0.000144906 -0.000104094 Equation cpiUSA 0.05532087 -0.003158926 0.002269240 Equation cpiCAN 0.17905739 -0.010224515 0.007344862 $vecm_OLS_l3_coAsExo dolcan cpiUSA cpiCAN Equation dolcan -0.00133834 7.64219e-05 -5.48983e-05 Equation cpiUSA 0.02933984 -1.67536e-03 1.20351e-03 Equation cpiCAN 0.13309930 -7.60022e-03 5.45968e-03 $vecm_OLS_l1_LRco dolcan cpiUSA cpiCAN const Equation dolcan -0.01997755 0.000296017 -1.93312e-04 0.01727095 Equation cpiUSA -0.00901845 0.000133631 -8.72668e-05 0.00779662 Equation cpiCAN 0.21439602 -0.003176811 2.07460e-03 -0.18534928 $vecm_OLS_l1_LRtr dolcan cpiUSA cpiCAN trend Equation dolcan -0.01834720 9.88536e-04 -0.000356891 -1.39630e-04 Equation cpiUSA -0.00116635 6.28424e-05 -0.000022688 -8.87645e-06 Equation cpiCAN -0.14402300 7.75987e-03 -0.002801546 -1.09608e-03 $vecm_OLS_l1_LRtr_noCo dolcan cpiUSA cpiCAN trend Equation dolcan -0.0152369 0.000820954 -0.000296389 -0.000115959 Equation cpiUSA 0.1532775 -0.008258503 0.002981566 0.001166508 Equation cpiCAN 0.0456934 -0.002461933 0.000888831 0.000347746 $vecm_OLS_l1_LRbo dolcan cpiUSA cpiCAN const trend Equation dolcan -0.0204254 0.000388899 -0.000217072 0.0157420 -1.76594e-05 Equation cpiUSA 0.0142998 -0.000272267 0.000151971 -0.0110209 1.23633e-05 Equation cpiCAN 0.1882546 -0.003584353 0.002000681 -0.1450887 1.62761e-04 $vecm_OLS_l0_co dolcan cpiUSA cpiCAN Equation dolcan -0.00278009 0.000158749 -0.000114038 Equation cpiUSA 0.06825526 -0.003897504 0.002799803 Equation cpiCAN 0.18618630 -0.010631589 0.007637287 $vecm_OLS_l0_tr dolcan cpiUSA cpiCAN Equation dolcan -0.00014226 8.12333e-06 -5.83546e-06 Equation cpiUSA 0.47995659 -2.74064e-02 1.96876e-02 Equation cpiCAN 0.57329765 -3.27364e-02 2.35164e-02 $vecm_ML_l0_co dolcan cpiUSA cpiCAN Equation dolcan -0.000350743 7.44769e-06 -1.41027e-05 Equation cpiUSA -0.043624355 9.26320e-04 -1.75404e-03 Equation cpiCAN -0.082363969 1.74892e-03 -3.31168e-03 $vecm_ML_l0_tr dolcan cpiUSA cpiCAN Equation dolcan -0.000548477 0.000120105 -4.14137e-05 Equation cpiUSA -0.092898926 0.020342986 -7.01449e-03 Equation cpiCAN -0.112369700 0.024606692 -8.48466e-03 $vecm_ML_l0_bo dolcan cpiUSA cpiCAN Equation dolcan -0.00199916 0.000686258 -0.000220427 Equation cpiUSA -0.01926882 0.006614464 -0.002124577 Equation cpiCAN -0.10088827 0.034632211 -0.011123925 $vecm_ML_l0_no dolcan cpiUSA cpiCAN Equation dolcan 0.00186933 -1.44046e-05 5.11147e-07 Equation cpiUSA 0.35882841 -2.76504e-03 9.81174e-05 Equation cpiCAN 0.35955951 -2.77067e-03 9.83173e-05 $vecm_ML_l0_LRco dolcan cpiUSA cpiCAN const Equation dolcan -0.000827373 1.81467e-05 -2.12456e-05 0.00275106 Equation cpiUSA -0.139668511 3.06334e-03 -3.58647e-03 0.46440491 Equation cpiCAN -0.138905753 3.04661e-03 -3.56688e-03 0.46186870 $vecm_ML_l0_LRtr dolcan cpiUSA cpiCAN trend Equation dolcan -0.000351401 7.73405e-06 -1.42019e-05 -5.63857e-08 Equation cpiUSA -0.043580338 9.59167e-04 -1.76130e-03 -6.99289e-06 Equation cpiCAN -0.082408872 1.81375e-03 -3.33056e-03 -1.32233e-05 $vecm_ML_l1_co dolcan cpiUSA cpiCAN Equation dolcan -0.00113098 4.44906e-05 -2.32361e-05 Equation cpiUSA 0.04610524 -1.81369e-03 9.47237e-04 Equation cpiCAN 0.14659463 -5.76674e-03 3.01180e-03 $vecm_ML_l3_co dolcan cpiUSA cpiCAN Equation dolcan -0.00356793 0.000126201 -0.000143508 Equation cpiUSA -0.03951752 0.001397770 -0.001589455 Equation cpiCAN -0.10642380 0.003764304 -0.004280529 $vecm_ML_l1_tr dolcan cpiUSA cpiCAN Equation dolcan -0.000770462 0.000173653 -4.68582e-05 Equation cpiUSA -0.043702949 0.009850135 -2.65794e-03 Equation cpiCAN -0.076817740 0.017313822 -4.67193e-03 $vecm_ML_l1_bo dolcan cpiUSA cpiCAN Equation dolcan 0.000239319 0.000395049 -0.000102551 Equation cpiUSA -0.001511179 -0.002494528 0.000647557 Equation cpiCAN 0.017749484 0.029299371 -0.007605848 $vecm_ML_l1_no dolcan cpiUSA cpiCAN Equation dolcan 0.00220426 -3.86123e-05 1.93084e-05 Equation cpiUSA 0.21473172 -3.76149e-03 1.88097e-03 Equation cpiCAN 0.28826535 -5.04959e-03 2.52509e-03 $vecm_ML_l1_coAsExo dolcan cpiUSA cpiCAN Equation dolcan -0.00113098 4.44906e-05 -2.32361e-05 Equation cpiUSA 0.04610524 -1.81369e-03 9.47237e-04 Equation cpiCAN 0.14659463 -5.76674e-03 3.01180e-03 $vecm_ML_l3_coAsExo dolcan cpiUSA cpiCAN Equation dolcan -0.00356793 0.000126201 -0.000143508 Equation cpiUSA -0.03951752 0.001397770 -0.001589455 Equation cpiCAN -0.10642380 0.003764304 -0.004280529 $vecm_ML_l1_LRco dolcan cpiUSA cpiCAN const Equation dolcan -0.000619478 -7.00024e-06 -5.12184e-06 0.00380639 Equation cpiUSA -0.039839594 -4.50197e-04 -3.29394e-04 0.24479509 Equation cpiCAN -0.051600916 -5.83102e-04 -4.26636e-04 0.31706274 $vecm_ML_l1_LRc_exo dolcan cpiUSA cpiCAN const Equation dolcan -0.000896493 8.83695e-07 -1.32787e-05 0.00437114 Equation cpiUSA -0.053355060 5.25934e-05 -7.90289e-04 0.26014951 Equation cpiCAN -0.068241101 6.72669e-05 -1.01078e-03 0.33273112 $vecm_ML_l1_LRtr dolcan cpiUSA cpiCAN trend Equation dolcan 0.000186248 0.000189723 -4.50536e-05 -4.18204e-05 Equation cpiUSA 0.004095248 0.004171644 -9.90643e-04 -9.19551e-04 Equation cpiCAN 0.029285101 0.029831410 -7.08409e-03 -6.57571e-03 $vecm_ML_l1_LRtr_exo dolcan cpiUSA cpiCAN trend Equation dolcan 8.03274e-05 0.000242102 -6.03097e-05 -5.23718e-05 Equation cpiUSA 1.52614e-03 0.004599697 -1.14583e-03 -9.95013e-04 Equation cpiCAN 1.00291e-02 0.030227122 -7.52985e-03 -6.53877e-03 $vecm_ML_l1_LRtr_noCo dolcan cpiUSA cpiCAN trend Equation dolcan -0.000727143 0.000184236 -4.97454e-05 -3.92314e-05 Equation cpiUSA -0.041425715 0.010496011 -2.83402e-03 -2.23503e-03 Equation cpiCAN -0.060470225 0.015321309 -4.13690e-03 -3.26254e-03 $vecm_ML_l1_LRbo dolcan cpiUSA cpiCAN const trend Equation dolcan -0.000887132 0.000177336 -4.90884e-05 0.000370399 -3.74143e-05 Equation cpiUSA -0.050342188 0.010063322 -2.78563e-03 0.021019059 -2.12316e-03 Equation cpiCAN -0.072935053 0.014579599 -4.03578e-03 0.030452116 -3.07600e-03 $vecm_ML_l1_LRbo_exo dolcan cpiUSA cpiCAN const trend Equation dolcan -0.00117972 0.000196559 -5.99841e-05 0.000699801 -0.000039673 Equation cpiUSA -0.06264816 0.010438141 -3.18542e-03 0.037162547 -0.002106810 Equation cpiCAN -0.08950148 0.014912315 -4.55081e-03 0.053091793 -0.003009866 > options(digits=7) > > ### rank test > vecm_ML_rtest <- vecm_ML[-grep("vecm_ML_l1_LRtr_noCo|vecm_ML_l1_LRbo", names(vecm_ML))] ## does not work for these models > > rank.tests <- lapply(vecm_ML_rtest , rank.test) > rank.tests_rnull1 <- lapply(vecm_ML_rtest , rank.test, r_null=1) > rank.tests_tr <- lapply(vecm_ML_rtest , rank.test, type="trace") > rank.tests_tr_rnull1 <- lapply(vecm_ML_rtest , rank.test, r_null=1, type="trace") > > rank.tests.all <- c(rank.tests , rank.tests_rnull1, rank.tests_tr,rank.tests_tr_rnull1 ) > > lapply(rank.tests.all, print) Rank selected: 0 (first eigen test with pval above 5 %: 16.1 %) Rank selected: 1 (first eigen test with pval above 5 %: 39.2 %) Rank selected: 0 (first eigen test with pval above 5 %: 48 %) Rank selected: 1 (first eigen test with pval above 5 %: 31.5 %) Rank selected: 1 (first eigen test with pval above 5 %: 44.7 %) Rank selected: 0 (first eigen test with pval above 5 %: 44 %) Rank selected: 0 (first eigen test with pval above 5 %: 40.4 %) Rank selected: 0 (first eigen test with pval above 5 %: 89.6 %) Rank selected: 1 (first eigen test with pval above 5 %: 24.3 %) Rank selected: 0 (first eigen test with pval above 5 %: 56.7 %) Rank selected: 1 (first eigen test with pval above 5 %: 47.4 %) Rank selected: 0 (first eigen test with pval above 5 %: 19.1 %) Rank selected: 0 (first eigen test with pval above 5 %: 70.8 %) Rank selected: 1 (first eigen test with pval above 5 %: 46.3 %) Rank selected: 1 (first eigen test with pval above 5 %: 41.9 %) Rank selected: 1 (first eigen test with pval above 5 %: 86 %) Rank selected: 1 (first eigen test with pval above 5 %: 78.8 %) Test of rank 1 versus 2 (eigen test), p-value: 0.368863. Test of rank 1 versus 2 (eigen test), p-value: 0.3923516. Test of rank 1 versus 2 (eigen test), p-value: 0.574022. Test of rank 1 versus 2 (eigen test), p-value: 0.3145692. Test of rank 1 versus 2 (eigen test), p-value: 0.4466289. Test of rank 1 versus 2 (eigen test), p-value: 0.8011453. Test of rank 1 versus 2 (eigen test), p-value: 0.4853022. Test of rank 1 versus 2 (eigen test), p-value: 0.4995697. Test of rank 1 versus 2 (eigen test), p-value: 0.242794. Test of rank 1 versus 2 (eigen test), p-value: 0.672108. Test of rank 1 versus 2 (eigen test), p-value: 0.4739872. Test of rank 1 versus 2 (eigen test), p-value: 0.2462422. Test of rank 1 versus 2 (eigen test), p-value: 0.257018. Test of rank 1 versus 2 (eigen test), p-value: 0.4625218. Test of rank 1 versus 2 (eigen test), p-value: 0.4189499. Test of rank 1 versus 2 (eigen test), p-value: 0.8601055. Test of rank 1 versus 2 (eigen test), p-value: 0.7875418. Rank selected: 0 (first trace test with pval above 5 %: 13.8 %) Rank selected: 1 (first trace test with pval above 5 %: 42.4 %) Rank selected: 0 (first trace test with pval above 5 %: 46.5 %) Rank selected: 1 (first trace test with pval above 5 %: 25 %) Rank selected: 1 (first trace test with pval above 5 %: 53.5 %) Rank selected: 0 (first trace test with pval above 5 %: 74.6 %) Rank selected: 0 (first trace test with pval above 5 %: 35.7 %) Rank selected: 0 (first trace test with pval above 5 %: 77.6 %) Rank selected: 1 (first trace test with pval above 5 %: 29.4 %) Rank selected: 0 (first trace test with pval above 5 %: 58.4 %) Rank selected: 1 (first trace test with pval above 5 %: 37.7 %) Rank selected: 0 (first trace test with pval above 5 %: 11.8 %) Rank selected: 0 (first trace test with pval above 5 %: 45.2 %) Rank selected: 1 (first trace test with pval above 5 %: 54.7 %) Rank selected: 1 (first trace test with pval above 5 %: 50.7 %) Rank selected: 0 (first trace test with pval above 5 %: 16.5 %) Rank selected: 0 (first trace test with pval above 5 %: 13.1 %) Test of rank 1 versus 3 (trace test), p-value: 0.4266331. Test of rank 1 versus 3 (trace test), p-value: 0.4237623. Test of rank 1 versus 3 (trace test), p-value: 0.6474022. Test of rank 1 versus 3 (trace test), p-value: 0.2495298. Test of rank 1 versus 3 (trace test), p-value: 0.5350455. Test of rank 1 versus 3 (trace test), p-value: 0.9674519. Test of rank 1 versus 3 (trace test), p-value: 0.5299647. Test of rank 1 versus 3 (trace test), p-value: 0.5699397. Test of rank 1 versus 3 (trace test), p-value: 0.2942669. Test of rank 1 versus 3 (trace test), p-value: 0.7307507. Test of rank 1 versus 3 (trace test), p-value: 0.3766058. Test of rank 1 versus 3 (trace test), p-value: 0.2819504. Test of rank 1 versus 3 (trace test), p-value: 0.3147926. Test of rank 1 versus 3 (trace test), p-value: 0.5468212. Test of rank 1 versus 3 (trace test), p-value: 0.5074649. Test of rank 1 versus 3 (trace test), p-value: 0.8999922. Test of rank 1 versus 3 (trace test), p-value: 0.8394808. $vecm_ML_l0_co Rank selected: 0 (first eigen test with pval above 5 %: 16.1 %) $vecm_ML_l0_tr Rank selected: 1 (first eigen test with pval above 5 %: 39.2 %) $vecm_ML_l0_bo Rank selected: 0 (first eigen test with pval above 5 %: 48 %) $vecm_ML_l0_no Rank selected: 1 (first eigen test with pval above 5 %: 31.5 %) $vecm_ML_l0_LRco Rank selected: 1 (first eigen test with pval above 5 %: 44.7 %) $vecm_ML_l0_LRtr Rank selected: 0 (first eigen test with pval above 5 %: 44 %) $vecm_ML_l1_co Rank selected: 0 (first eigen test with pval above 5 %: 40.4 %) $vecm_ML_l3_co Rank selected: 0 (first eigen test with pval above 5 %: 89.6 %) $vecm_ML_l1_tr Rank selected: 1 (first eigen test with pval above 5 %: 24.3 %) $vecm_ML_l1_bo Rank selected: 0 (first eigen test with pval above 5 %: 56.7 %) $vecm_ML_l1_no Rank selected: 1 (first eigen test with pval above 5 %: 47.4 %) $vecm_ML_l1_coAsExo Rank selected: 0 (first eigen test with pval above 5 %: 19.1 %) $vecm_ML_l3_coAsExo Rank selected: 0 (first eigen test with pval above 5 %: 70.8 %) $vecm_ML_l1_LRco Rank selected: 1 (first eigen test with pval above 5 %: 46.3 %) $vecm_ML_l1_LRc_exo Rank selected: 1 (first eigen test with pval above 5 %: 41.9 %) $vecm_ML_l1_LRtr Rank selected: 1 (first eigen test with pval above 5 %: 86 %) $vecm_ML_l1_LRtr_exo Rank selected: 1 (first eigen test with pval above 5 %: 78.8 %) $vecm_ML_l0_co Test of rank 1 versus 2 (eigen test), p-value: 0.368863. $vecm_ML_l0_tr Test of rank 1 versus 2 (eigen test), p-value: 0.3923516. $vecm_ML_l0_bo Test of rank 1 versus 2 (eigen test), p-value: 0.574022. $vecm_ML_l0_no Test of rank 1 versus 2 (eigen test), p-value: 0.3145692. $vecm_ML_l0_LRco Test of rank 1 versus 2 (eigen test), p-value: 0.4466289. $vecm_ML_l0_LRtr Test of rank 1 versus 2 (eigen test), p-value: 0.8011453. $vecm_ML_l1_co Test of rank 1 versus 2 (eigen test), p-value: 0.4853022. $vecm_ML_l3_co Test of rank 1 versus 2 (eigen test), p-value: 0.4995697. $vecm_ML_l1_tr Test of rank 1 versus 2 (eigen test), p-value: 0.242794. $vecm_ML_l1_bo Test of rank 1 versus 2 (eigen test), p-value: 0.672108. $vecm_ML_l1_no Test of rank 1 versus 2 (eigen test), p-value: 0.4739872. $vecm_ML_l1_coAsExo Test of rank 1 versus 2 (eigen test), p-value: 0.2462422. $vecm_ML_l3_coAsExo Test of rank 1 versus 2 (eigen test), p-value: 0.257018. $vecm_ML_l1_LRco Test of rank 1 versus 2 (eigen test), p-value: 0.4625218. $vecm_ML_l1_LRc_exo Test of rank 1 versus 2 (eigen test), p-value: 0.4189499. $vecm_ML_l1_LRtr Test of rank 1 versus 2 (eigen test), p-value: 0.8601055. $vecm_ML_l1_LRtr_exo Test of rank 1 versus 2 (eigen test), p-value: 0.7875418. $vecm_ML_l0_co Rank selected: 0 (first trace test with pval above 5 %: 13.8 %) $vecm_ML_l0_tr Rank selected: 1 (first trace test with pval above 5 %: 42.4 %) $vecm_ML_l0_bo Rank selected: 0 (first trace test with pval above 5 %: 46.5 %) $vecm_ML_l0_no Rank selected: 1 (first trace test with pval above 5 %: 25 %) $vecm_ML_l0_LRco Rank selected: 1 (first trace test with pval above 5 %: 53.5 %) $vecm_ML_l0_LRtr Rank selected: 0 (first trace test with pval above 5 %: 74.6 %) $vecm_ML_l1_co Rank selected: 0 (first trace test with pval above 5 %: 35.7 %) $vecm_ML_l3_co Rank selected: 0 (first trace test with pval above 5 %: 77.6 %) $vecm_ML_l1_tr Rank selected: 1 (first trace test with pval above 5 %: 29.4 %) $vecm_ML_l1_bo Rank selected: 0 (first trace test with pval above 5 %: 58.4 %) $vecm_ML_l1_no Rank selected: 1 (first trace test with pval above 5 %: 37.7 %) $vecm_ML_l1_coAsExo Rank selected: 0 (first trace test with pval above 5 %: 11.8 %) $vecm_ML_l3_coAsExo Rank selected: 0 (first trace test with pval above 5 %: 45.2 %) $vecm_ML_l1_LRco Rank selected: 1 (first trace test with pval above 5 %: 54.7 %) $vecm_ML_l1_LRc_exo Rank selected: 1 (first trace test with pval above 5 %: 50.7 %) $vecm_ML_l1_LRtr Rank selected: 0 (first trace test with pval above 5 %: 16.5 %) $vecm_ML_l1_LRtr_exo Rank selected: 0 (first trace test with pval above 5 %: 13.1 %) $vecm_ML_l0_co Test of rank 1 versus 3 (trace test), p-value: 0.4266331. $vecm_ML_l0_tr Test of rank 1 versus 3 (trace test), p-value: 0.4237623. $vecm_ML_l0_bo Test of rank 1 versus 3 (trace test), p-value: 0.6474022. $vecm_ML_l0_no Test of rank 1 versus 3 (trace test), p-value: 0.2495298. $vecm_ML_l0_LRco Test of rank 1 versus 3 (trace test), p-value: 0.5350455. $vecm_ML_l0_LRtr Test of rank 1 versus 3 (trace test), p-value: 0.9674519. $vecm_ML_l1_co Test of rank 1 versus 3 (trace test), p-value: 0.5299647. $vecm_ML_l3_co Test of rank 1 versus 3 (trace test), p-value: 0.5699397. $vecm_ML_l1_tr Test of rank 1 versus 3 (trace test), p-value: 0.2942669. $vecm_ML_l1_bo Test of rank 1 versus 3 (trace test), p-value: 0.7307507. $vecm_ML_l1_no Test of rank 1 versus 3 (trace test), p-value: 0.3766058. $vecm_ML_l1_coAsExo Test of rank 1 versus 3 (trace test), p-value: 0.2819504. $vecm_ML_l3_coAsExo Test of rank 1 versus 3 (trace test), p-value: 0.3147926. $vecm_ML_l1_LRco Test of rank 1 versus 3 (trace test), p-value: 0.5468212. $vecm_ML_l1_LRc_exo Test of rank 1 versus 3 (trace test), p-value: 0.5074649. $vecm_ML_l1_LRtr Test of rank 1 versus 3 (trace test), p-value: 0.8999922. $vecm_ML_l1_LRtr_exo Test of rank 1 versus 3 (trace test), p-value: 0.8394808. > lapply(rank.tests.all, summary) $vecm_ML_l0_co r trace trace_pval trace_pval_T eigen eigen_pval 1 0 25.8105875 0.1383 0.1395 17.3685873 0.1605 2 1 8.4420003 0.4266 0.4294 8.1804329 0.3689 3 2 0.2615674 0.6090 0.6108 0.2615674 0.6091 $vecm_ML_l0_tr r trace trace_pval trace_pval_T eigen eigen_pval 1 0 229.2889876 <0.001 <0.001 223.1831443 <0.001 2 1 6.1058432 0.4238 0.4313 5.7049245 0.3924 3 2 0.4009187 0.5973 0.5885 0.4009187 0.5892 $vecm_ML_l0_bo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 23.79134923 0.4645 0.4670 15.39224665 0.4800 2 1 8.39910259 0.6474 0.6477 8.32575125 0.5740 3 2 0.07335134 0.7865 0.7870 0.07335134 0.7865 $vecm_ML_l0_no r trace trace_pval trace_pval_T eigen eigen_pval 1 0 395.708595 <0.001 <0.001 387.850932 <0.001 2 1 7.857663 0.2495 0.2543 6.390852 0.3146 3 2 1.466811 0.2646 0.2636 1.466811 0.2636 $vecm_ML_l0_LRco r trace trace_pval trace_pval_T eigen eigen_pval 1 0 417.76067 <0.001 <0.001 406.60422 <0.001 2 1 11.15645 0.5350 0.5381 8.99480 0.4466 3 2 2.16165 0.7444 <0.001 2.16165 0.7432 $vecm_ML_l0_LRtr r trace trace_pval trace_pval_T eigen eigen_pval 1 0 25.849628 0.7461 0.7525 17.398358 0.4398 2 1 8.451270 0.9675 0.9681 8.181151 0.8011 3 2 0.270119 0.9999 0.9999 0.270119 1.0000 $vecm_ML_l1_co r trace trace_pval trace_pval_T eigen eigen_pval 1 0 21.1755537 0.3572 0.3592 13.6999485 0.4044 2 1 7.4756052 0.5300 0.5327 7.1059211 0.4853 3 2 0.3696841 0.5432 0.5450 0.3696841 0.5432 $vecm_ML_l3_co r trace trace_pval trace_pval_T eigen eigen_pval 1 0 15.1148543 0.7760 0.7777 7.9935974 0.8959 2 1 7.1212569 0.5699 0.5727 6.9836702 0.4996 3 2 0.1375867 0.7107 0.7123 0.1375867 0.7107 $vecm_ML_l1_tr r trace trace_pval trace_pval_T eigen eigen_pval 1 0 86.4855213 <0.001 <0.001 79.1462436 <0.001 2 1 7.3392777 0.2943 0.2999 7.1459394 0.2428 3 2 0.1933383 0.7318 0.7216 0.1933383 0.7224 $vecm_ML_l1_bo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 21.9386380 0.5840 0.5875 14.3834103 0.5673 2 1 7.5552276 0.7308 0.7311 7.4108462 0.6721 3 2 0.1443815 0.7040 0.7047 0.1443815 0.7039 $vecm_ML_l1_no r trace trace_pval trace_pval_T eigen eigen_pval 1 0 92.133608 <0.001 <0.001 85.612782 <0.001 2 1 6.520826 0.3766 0.3836 5.075018 0.4740 3 2 1.445808 0.2685 0.2674 1.445808 0.2674 $vecm_ML_l1_coAsExo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 21.1755537 0.1179 0.1199 13.6999485 0.1908 2 1 7.4756052 0.2820 0.2874 7.1059211 0.2462 3 2 0.3696841 0.6145 0.6055 0.3696841 0.6062 $vecm_ML_l3_coAsExo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 15.1148543 0.4519 0.4573 7.9935974 0.7075 2 1 7.1212569 0.3148 0.3208 6.9836702 0.2570 3 2 0.1375867 0.7798 0.7697 0.1375867 0.7705 $vecm_ML_l1_LRco r trace trace_pval trace_pval_T eigen eigen_pval 1 0 103.826208 <0.001 <0.001 92.794543 <0.001 2 1 11.031665 0.5468 0.5499 8.847389 0.4625 3 2 2.184276 0.7402 <0.001 2.184276 0.7390 $vecm_ML_l1_LRc_exo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 105.325574 <0.001 <0.001 93.874258 <0.001 2 1 11.451316 0.5075 0.5106 9.257527 0.4189 3 2 2.193789 0.7384 <0.001 2.193789 0.7372 $vecm_ML_l1_LRtr r trace trace_pval trace_pval_T eigen eigen_pval 1 0 37.266515 0.1650 0.1700 26.853160 0.03298 2 1 10.413355 0.9000 0.9017 7.442783 0.86011 3 2 2.970572 0.8688 0.8697 2.970572 0.87030 $vecm_ML_l1_LRtr_exo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 38.430526 0.1311 0.1354 26.895908 0.03249 2 1 11.534618 0.8395 0.8418 8.337220 0.78754 3 2 3.197398 0.8431 0.8441 3.197398 0.84472 $vecm_ML_l0_co r trace trace_pval trace_pval_T eigen eigen_pval 1 0 25.8105875 0.1383 0.1395 17.3685873 0.1605 2 1 8.4420003 0.4266 0.4294 8.1804329 0.3689 3 2 0.2615674 0.6090 0.6108 0.2615674 0.6091 $vecm_ML_l0_tr r trace trace_pval trace_pval_T eigen eigen_pval 1 0 229.2889876 <0.001 <0.001 223.1831443 <0.001 2 1 6.1058432 0.4238 0.4313 5.7049245 0.3924 3 2 0.4009187 0.5973 0.5885 0.4009187 0.5892 $vecm_ML_l0_bo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 23.79134923 0.4645 0.4670 15.39224665 0.4800 2 1 8.39910259 0.6474 0.6477 8.32575125 0.5740 3 2 0.07335134 0.7865 0.7870 0.07335134 0.7865 $vecm_ML_l0_no r trace trace_pval trace_pval_T eigen eigen_pval 1 0 395.708595 <0.001 <0.001 387.850932 <0.001 2 1 7.857663 0.2495 0.2543 6.390852 0.3146 3 2 1.466811 0.2646 0.2636 1.466811 0.2636 $vecm_ML_l0_LRco r trace trace_pval trace_pval_T eigen eigen_pval 1 0 417.76067 <0.001 <0.001 406.60422 <0.001 2 1 11.15645 0.5350 0.5381 8.99480 0.4466 3 2 2.16165 0.7444 <0.001 2.16165 0.7432 $vecm_ML_l0_LRtr r trace trace_pval trace_pval_T eigen eigen_pval 1 0 25.849628 0.7461 0.7525 17.398358 0.4398 2 1 8.451270 0.9675 0.9681 8.181151 0.8011 3 2 0.270119 0.9999 0.9999 0.270119 1.0000 $vecm_ML_l1_co r trace trace_pval trace_pval_T eigen eigen_pval 1 0 21.1755537 0.3572 0.3592 13.6999485 0.4044 2 1 7.4756052 0.5300 0.5327 7.1059211 0.4853 3 2 0.3696841 0.5432 0.5450 0.3696841 0.5432 $vecm_ML_l3_co r trace trace_pval trace_pval_T eigen eigen_pval 1 0 15.1148543 0.7760 0.7777 7.9935974 0.8959 2 1 7.1212569 0.5699 0.5727 6.9836702 0.4996 3 2 0.1375867 0.7107 0.7123 0.1375867 0.7107 $vecm_ML_l1_tr r trace trace_pval trace_pval_T eigen eigen_pval 1 0 86.4855213 <0.001 <0.001 79.1462436 <0.001 2 1 7.3392777 0.2943 0.2999 7.1459394 0.2428 3 2 0.1933383 0.7318 0.7216 0.1933383 0.7224 $vecm_ML_l1_bo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 21.9386380 0.5840 0.5875 14.3834103 0.5673 2 1 7.5552276 0.7308 0.7311 7.4108462 0.6721 3 2 0.1443815 0.7040 0.7047 0.1443815 0.7039 $vecm_ML_l1_no r trace trace_pval trace_pval_T eigen eigen_pval 1 0 92.133608 <0.001 <0.001 85.612782 <0.001 2 1 6.520826 0.3766 0.3836 5.075018 0.4740 3 2 1.445808 0.2685 0.2674 1.445808 0.2674 $vecm_ML_l1_coAsExo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 21.1755537 0.1179 0.1199 13.6999485 0.1908 2 1 7.4756052 0.2820 0.2874 7.1059211 0.2462 3 2 0.3696841 0.6145 0.6055 0.3696841 0.6062 $vecm_ML_l3_coAsExo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 15.1148543 0.4519 0.4573 7.9935974 0.7075 2 1 7.1212569 0.3148 0.3208 6.9836702 0.2570 3 2 0.1375867 0.7798 0.7697 0.1375867 0.7705 $vecm_ML_l1_LRco r trace trace_pval trace_pval_T eigen eigen_pval 1 0 103.826208 <0.001 <0.001 92.794543 <0.001 2 1 11.031665 0.5468 0.5499 8.847389 0.4625 3 2 2.184276 0.7402 <0.001 2.184276 0.7390 $vecm_ML_l1_LRc_exo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 105.325574 <0.001 <0.001 93.874258 <0.001 2 1 11.451316 0.5075 0.5106 9.257527 0.4189 3 2 2.193789 0.7384 <0.001 2.193789 0.7372 $vecm_ML_l1_LRtr r trace trace_pval trace_pval_T eigen eigen_pval 1 0 37.266515 0.1650 0.1700 26.853160 0.03298 2 1 10.413355 0.9000 0.9017 7.442783 0.86011 3 2 2.970572 0.8688 0.8697 2.970572 0.87030 $vecm_ML_l1_LRtr_exo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 38.430526 0.1311 0.1354 26.895908 0.03249 2 1 11.534618 0.8395 0.8418 8.337220 0.78754 3 2 3.197398 0.8431 0.8441 3.197398 0.84472 $vecm_ML_l0_co r trace trace_pval trace_pval_T eigen eigen_pval 1 0 25.8105875 0.1383 0.1395 17.3685873 0.1605 2 1 8.4420003 0.4266 0.4294 8.1804329 0.3689 3 2 0.2615674 0.6090 0.6108 0.2615674 0.6091 $vecm_ML_l0_tr r trace trace_pval trace_pval_T eigen eigen_pval 1 0 229.2889876 <0.001 <0.001 223.1831443 <0.001 2 1 6.1058432 0.4238 0.4313 5.7049245 0.3924 3 2 0.4009187 0.5973 0.5885 0.4009187 0.5892 $vecm_ML_l0_bo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 23.79134923 0.4645 0.4670 15.39224665 0.4800 2 1 8.39910259 0.6474 0.6477 8.32575125 0.5740 3 2 0.07335134 0.7865 0.7870 0.07335134 0.7865 $vecm_ML_l0_no r trace trace_pval trace_pval_T eigen eigen_pval 1 0 395.708595 <0.001 <0.001 387.850932 <0.001 2 1 7.857663 0.2495 0.2543 6.390852 0.3146 3 2 1.466811 0.2646 0.2636 1.466811 0.2636 $vecm_ML_l0_LRco r trace trace_pval trace_pval_T eigen eigen_pval 1 0 417.76067 <0.001 <0.001 406.60422 <0.001 2 1 11.15645 0.5350 0.5381 8.99480 0.4466 3 2 2.16165 0.7444 <0.001 2.16165 0.7432 $vecm_ML_l0_LRtr r trace trace_pval trace_pval_T eigen eigen_pval 1 0 25.849628 0.7461 0.7525 17.398358 0.4398 2 1 8.451270 0.9675 0.9681 8.181151 0.8011 3 2 0.270119 0.9999 0.9999 0.270119 1.0000 $vecm_ML_l1_co r trace trace_pval trace_pval_T eigen eigen_pval 1 0 21.1755537 0.3572 0.3592 13.6999485 0.4044 2 1 7.4756052 0.5300 0.5327 7.1059211 0.4853 3 2 0.3696841 0.5432 0.5450 0.3696841 0.5432 $vecm_ML_l3_co r trace trace_pval trace_pval_T eigen eigen_pval 1 0 15.1148543 0.7760 0.7777 7.9935974 0.8959 2 1 7.1212569 0.5699 0.5727 6.9836702 0.4996 3 2 0.1375867 0.7107 0.7123 0.1375867 0.7107 $vecm_ML_l1_tr r trace trace_pval trace_pval_T eigen eigen_pval 1 0 86.4855213 <0.001 <0.001 79.1462436 <0.001 2 1 7.3392777 0.2943 0.2999 7.1459394 0.2428 3 2 0.1933383 0.7318 0.7216 0.1933383 0.7224 $vecm_ML_l1_bo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 21.9386380 0.5840 0.5875 14.3834103 0.5673 2 1 7.5552276 0.7308 0.7311 7.4108462 0.6721 3 2 0.1443815 0.7040 0.7047 0.1443815 0.7039 $vecm_ML_l1_no r trace trace_pval trace_pval_T eigen eigen_pval 1 0 92.133608 <0.001 <0.001 85.612782 <0.001 2 1 6.520826 0.3766 0.3836 5.075018 0.4740 3 2 1.445808 0.2685 0.2674 1.445808 0.2674 $vecm_ML_l1_coAsExo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 21.1755537 0.1179 0.1199 13.6999485 0.1908 2 1 7.4756052 0.2820 0.2874 7.1059211 0.2462 3 2 0.3696841 0.6145 0.6055 0.3696841 0.6062 $vecm_ML_l3_coAsExo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 15.1148543 0.4519 0.4573 7.9935974 0.7075 2 1 7.1212569 0.3148 0.3208 6.9836702 0.2570 3 2 0.1375867 0.7798 0.7697 0.1375867 0.7705 $vecm_ML_l1_LRco r trace trace_pval trace_pval_T eigen eigen_pval 1 0 103.826208 <0.001 <0.001 92.794543 <0.001 2 1 11.031665 0.5468 0.5499 8.847389 0.4625 3 2 2.184276 0.7402 <0.001 2.184276 0.7390 $vecm_ML_l1_LRc_exo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 105.325574 <0.001 <0.001 93.874258 <0.001 2 1 11.451316 0.5075 0.5106 9.257527 0.4189 3 2 2.193789 0.7384 <0.001 2.193789 0.7372 $vecm_ML_l1_LRtr r trace trace_pval trace_pval_T eigen eigen_pval 1 0 37.266515 0.1650 0.1700 26.853160 0.03298 2 1 10.413355 0.9000 0.9017 7.442783 0.86011 3 2 2.970572 0.8688 0.8697 2.970572 0.87030 $vecm_ML_l1_LRtr_exo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 38.430526 0.1311 0.1354 26.895908 0.03249 2 1 11.534618 0.8395 0.8418 8.337220 0.78754 3 2 3.197398 0.8431 0.8441 3.197398 0.84472 $vecm_ML_l0_co r trace trace_pval trace_pval_T eigen eigen_pval 1 0 25.8105875 0.1383 0.1395 17.3685873 0.1605 2 1 8.4420003 0.4266 0.4294 8.1804329 0.3689 3 2 0.2615674 0.6090 0.6108 0.2615674 0.6091 $vecm_ML_l0_tr r trace trace_pval trace_pval_T eigen eigen_pval 1 0 229.2889876 <0.001 <0.001 223.1831443 <0.001 2 1 6.1058432 0.4238 0.4313 5.7049245 0.3924 3 2 0.4009187 0.5973 0.5885 0.4009187 0.5892 $vecm_ML_l0_bo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 23.79134923 0.4645 0.4670 15.39224665 0.4800 2 1 8.39910259 0.6474 0.6477 8.32575125 0.5740 3 2 0.07335134 0.7865 0.7870 0.07335134 0.7865 $vecm_ML_l0_no r trace trace_pval trace_pval_T eigen eigen_pval 1 0 395.708595 <0.001 <0.001 387.850932 <0.001 2 1 7.857663 0.2495 0.2543 6.390852 0.3146 3 2 1.466811 0.2646 0.2636 1.466811 0.2636 $vecm_ML_l0_LRco r trace trace_pval trace_pval_T eigen eigen_pval 1 0 417.76067 <0.001 <0.001 406.60422 <0.001 2 1 11.15645 0.5350 0.5381 8.99480 0.4466 3 2 2.16165 0.7444 <0.001 2.16165 0.7432 $vecm_ML_l0_LRtr r trace trace_pval trace_pval_T eigen eigen_pval 1 0 25.849628 0.7461 0.7525 17.398358 0.4398 2 1 8.451270 0.9675 0.9681 8.181151 0.8011 3 2 0.270119 0.9999 0.9999 0.270119 1.0000 $vecm_ML_l1_co r trace trace_pval trace_pval_T eigen eigen_pval 1 0 21.1755537 0.3572 0.3592 13.6999485 0.4044 2 1 7.4756052 0.5300 0.5327 7.1059211 0.4853 3 2 0.3696841 0.5432 0.5450 0.3696841 0.5432 $vecm_ML_l3_co r trace trace_pval trace_pval_T eigen eigen_pval 1 0 15.1148543 0.7760 0.7777 7.9935974 0.8959 2 1 7.1212569 0.5699 0.5727 6.9836702 0.4996 3 2 0.1375867 0.7107 0.7123 0.1375867 0.7107 $vecm_ML_l1_tr r trace trace_pval trace_pval_T eigen eigen_pval 1 0 86.4855213 <0.001 <0.001 79.1462436 <0.001 2 1 7.3392777 0.2943 0.2999 7.1459394 0.2428 3 2 0.1933383 0.7318 0.7216 0.1933383 0.7224 $vecm_ML_l1_bo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 21.9386380 0.5840 0.5875 14.3834103 0.5673 2 1 7.5552276 0.7308 0.7311 7.4108462 0.6721 3 2 0.1443815 0.7040 0.7047 0.1443815 0.7039 $vecm_ML_l1_no r trace trace_pval trace_pval_T eigen eigen_pval 1 0 92.133608 <0.001 <0.001 85.612782 <0.001 2 1 6.520826 0.3766 0.3836 5.075018 0.4740 3 2 1.445808 0.2685 0.2674 1.445808 0.2674 $vecm_ML_l1_coAsExo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 21.1755537 0.1179 0.1199 13.6999485 0.1908 2 1 7.4756052 0.2820 0.2874 7.1059211 0.2462 3 2 0.3696841 0.6145 0.6055 0.3696841 0.6062 $vecm_ML_l3_coAsExo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 15.1148543 0.4519 0.4573 7.9935974 0.7075 2 1 7.1212569 0.3148 0.3208 6.9836702 0.2570 3 2 0.1375867 0.7798 0.7697 0.1375867 0.7705 $vecm_ML_l1_LRco r trace trace_pval trace_pval_T eigen eigen_pval 1 0 103.826208 <0.001 <0.001 92.794543 <0.001 2 1 11.031665 0.5468 0.5499 8.847389 0.4625 3 2 2.184276 0.7402 <0.001 2.184276 0.7390 $vecm_ML_l1_LRc_exo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 105.325574 <0.001 <0.001 93.874258 <0.001 2 1 11.451316 0.5075 0.5106 9.257527 0.4189 3 2 2.193789 0.7384 <0.001 2.193789 0.7372 $vecm_ML_l1_LRtr r trace trace_pval trace_pval_T eigen eigen_pval 1 0 37.266515 0.1650 0.1700 26.853160 0.03298 2 1 10.413355 0.9000 0.9017 7.442783 0.86011 3 2 2.970572 0.8688 0.8697 2.970572 0.87030 $vecm_ML_l1_LRtr_exo r trace trace_pval trace_pval_T eigen eigen_pval 1 0 38.430526 0.1311 0.1354 26.895908 0.03249 2 1 11.534618 0.8395 0.8418 8.337220 0.78754 3 2 3.197398 0.8431 0.8441 3.197398 0.84472 > > > ### rank select > data(barry) > r_sel <- rank.select(barry) > r_sel_tre <- rank.select(barry, include="trend") > r_sel_none <- rank.select(barry, include="none") > r_sel_both <- rank.select(barry, include="both") > > r_sel$LLs lag=1 lag=2 lag=3 lag=4 lag=5 lag=6 lag=7 lag=8 r=0 1062.012 1072.887 1079.813 1087.370 1100.919 1104.472 1111.841 1119.997 r=1 1069.856 1078.651 1084.504 1091.254 1104.775 1108.406 1116.423 1124.214 r=2 1073.515 1081.975 1087.903 1094.593 1108.161 1111.740 1119.832 1127.563 r=3 1073.701 1082.089 1087.971 1094.719 1108.387 1111.962 1120.242 1127.817 lag=9 lag=10 r=0 1133.446 1147.092 r=1 1139.431 1153.727 r=2 1142.551 1156.927 r=3 1142.812 1157.169 > r_sel$AICs lag=1 lag=2 lag=3 lag=4 lag=5 lag=6 lag=7 r=0 -4764.790 -4768.541 -4764.392 -4761.506 -4770.604 -4759.711 -4756.448 r=1 -4770.478 -4770.069 -4763.774 -4759.275 -4768.316 -4757.578 -4755.612 r=2 -4771.797 -4770.716 -4764.572 -4759.953 -4769.088 -4758.246 -4756.431 r=3 -4770.169 -4768.945 -4762.708 -4758.205 -4767.541 -4756.690 -4755.250 lag=8 lag=9 lag=10 r=0 -4754.760 -4763.659 -4772.950 r=1 -4753.194 -4765.628 -4776.220 r=2 -4753.893 -4765.869 -4776.621 r=3 -4752.401 -4764.391 -4775.105 > > r_sel_tre$LLs lag=1 lag=2 lag=3 lag=4 lag=5 lag=6 lag=7 lag=8 r=0 1033.706 1054.382 1067.406 1078.609 1093.228 1096.364 1105.090 1114.984 r=1 1073.419 1081.422 1086.689 1091.703 1105.134 1109.448 1117.110 1124.626 r=2 1076.936 1084.711 1090.167 1095.282 1109.382 1113.628 1122.470 1129.962 r=3 1076.993 1084.761 1090.214 1095.294 1109.384 1113.635 1122.491 1130.001 lag=9 lag=10 r=0 1128.871 1144.416 r=1 1138.242 1152.238 r=2 1144.467 1158.179 r=3 1144.492 1158.272 > r_sel_tre$AICs lag=1 lag=2 lag=3 lag=4 lag=5 lag=6 lag=7 r=0 -4708.179 -4731.530 -4739.579 -4743.984 -4755.223 -4743.494 -4742.946 r=1 -4777.605 -4775.610 -4768.145 -4760.174 -4769.034 -4759.663 -4756.986 r=2 -4778.638 -4776.188 -4769.101 -4761.331 -4771.530 -4762.022 -4761.707 r=3 -4776.753 -4774.288 -4767.195 -4759.354 -4769.534 -4760.037 -4759.748 lag=8 lag=9 lag=10 r=0 -4744.734 -4754.508 -4767.599 r=1 -4754.018 -4763.250 -4773.242 r=2 -4758.690 -4769.701 -4779.124 r=3 -4756.768 -4767.750 -4777.310 > > r_sel_none$LLs lag=1 lag=2 lag=3 lag=4 lag=5 lag=6 lag=7 lag=8 r=0 1022.760 1046.812 1061.924 1073.966 1089.592 1093.186 1103.072 1112.958 r=1 1064.037 1073.060 1079.449 1086.487 1100.827 1104.855 1113.603 1121.073 r=2 1066.635 1075.441 1081.727 1088.771 1103.085 1106.737 1115.126 1122.810 r=3 1067.397 1076.077 1082.320 1089.451 1103.916 1107.563 1116.289 1123.391 lag=9 lag=10 r=0 1126.573 1141.903 r=1 1135.755 1149.354 r=2 1137.965 1151.943 r=3 1138.448 1152.082 > r_sel_none$AICs lag=1 lag=2 lag=3 lag=4 lag=5 lag=6 lag=7 r=0 -4692.287 -4722.391 -4734.615 -4740.699 -4753.952 -4743.138 -4744.911 r=1 -4764.840 -4764.886 -4759.665 -4755.740 -4766.420 -4756.476 -4755.973 r=2 -4764.037 -4763.648 -4758.222 -4754.308 -4764.936 -4754.241 -4753.018 r=3 -4763.560 -4762.920 -4757.406 -4753.669 -4764.600 -4753.893 -4753.345 lag=8 lag=9 lag=10 r=0 -4746.682 -4755.913 -4768.573 r=1 -4752.913 -4764.277 -4773.474 r=2 -4750.387 -4762.697 -4772.652 r=3 -4749.548 -4761.663 -4770.930 > > r_sel_both$LLs lag=1 lag=2 lag=3 lag=4 lag=5 lag=6 lag=7 lag=8 r=0 1070.914 1079.353 1084.788 1091.165 1104.862 1108.538 1116.199 1123.868 r=1 1077.798 1085.742 1091.274 1096.044 1109.959 1114.308 1123.076 1130.605 r=2 1081.485 1089.010 1094.682 1099.469 1112.824 1117.196 1126.336 1133.924 r=3 1081.545 1089.014 1094.695 1099.474 1112.830 1117.226 1126.346 1133.943 lag=9 lag=10 r=0 1138.243 1151.609 r=1 1144.577 1158.518 r=2 1147.939 1161.884 r=3 1147.946 1161.895 > r_sel_both$AICs lag=1 lag=2 lag=3 lag=4 lag=5 lag=6 lag=7 r=0 -4776.595 -4775.473 -4768.342 -4763.096 -4772.490 -4761.842 -4759.164 r=1 -4780.362 -4778.250 -4771.314 -4762.855 -4772.684 -4763.383 -4762.918 r=2 -4781.736 -4778.787 -4772.130 -4763.704 -4772.414 -4763.158 -4763.439 r=3 -4779.857 -4776.795 -4770.157 -4761.715 -4770.426 -4761.218 -4761.459 lag=8 lag=9 lag=10 r=0 -4756.503 -4767.253 -4775.985 r=1 -4759.977 -4769.920 -4779.802 r=2 -4760.615 -4770.644 -4780.534 r=3 -4758.653 -4768.659 -4778.556 > > #### exogen: check equalities > check.same <- function(x1, x2) { + co_x2 <- coef(x2) + t1 <- isTRUE(all.equal(coef(x1), co_x2[,c(1:x2$model.specific$r, ncol(co_x2),(x2$model.specific$r+1):(ncol(co_x2)-1))], check.attributes=FALSE)) + t2 <- isTRUE(all.equal(AIC(x1), AIC(x2), check.attributes=FALSE)) + t3 <- isTRUE(all.equal(BIC(x1), BIC(x2), check.attributes=FALSE)) + if(x1$model.specific$estim=="ML"){ + t5 <- isTRUE(all.equal(BIC(x1,fitMeasure="LL"), BIC(x2,fitMeasure="LL"), check.attributes=FALSE)) + t6 <- isTRUE(all.equal(BIC(x1,fitMeasure="LL", r=2), BIC(x2,fitMeasure="LL",r=2), check.attributes=FALSE)) + t7 <- isTRUE(all.equal(logLik(x1,fitMeasure="LL", r=2), logLik(x2,fitMeasure="LL",r=2), check.attributes=FALSE)) + t8 <- isTRUE(all.equal(rank.test(x1)$res_df[,c("trace", "eigen")], rank.test(x2)$res_df[,c("trace", "eigen")], check.attributes=FALSE)) + } else { + t5 <- t6 <- t7 <- t8 <- NULL + } + t4 <- isTRUE(all.equal(residuals(x1), residuals(x2), check.attributes=FALSE)) + c(t1, t1, t3,t4, t5, t6, t7, t8) + } > > check.same(x1=vecm_OLS_l1_co, x2=vecm_OLS_l1_coAsExo) [1] TRUE TRUE TRUE TRUE > check.same(x1=vecm_OLS_l3_co, x2=vecm_OLS_l3_coAsExo) [1] TRUE TRUE TRUE TRUE > check.same(x1=vecm_ML_l1_co, x2=vecm_ML_l1_coAsExo) [1] TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE > check.same(x1=vecm_ML_l3_co, x2=vecm_ML_l3_coAsExo) [1] TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE > > > > ################################### > ####### predict_rolling check > ################################### > n_ca<- nrow(barry) > as.M <- function(x) as.matrix(x) > > #### VECM No refit lag=1 > mod_vecm_l1_full <- VECM(barry, lag=1) > mod_vecm_l1_sub <- VECM(tsDyn:::myHead(barry,n_ca-10), lag=1) > mod_vecm_l1_sub_ref5 <- VECM(tsDyn:::myHead(barry,n_ca-5), lag=1) > > > pred_l3_vecm_roll_12<-predict_rolling(object=mod_vecm_l1_full, nroll=10, n.ahead=1:2) > pred_l3_vecm_0_12_nd <- predict(mod_vecm_l1_sub, n.ahead=2, newdata=barry[n_ca-c(12:11),,drop=FALSE]) > pred_l3_vecm_1_12_nd_ref5 <- predict(mod_vecm_l1_sub_ref5, n.ahead=2, newdata=barry[n_ca-c(6:5),,drop=FALSE]) > pred_l3_vecm_0_12_nd_ref5 <- predict(mod_vecm_l1_sub_ref5, n.ahead=2, newdata=barry[n_ca-c(7:6),,drop=FALSE]) > pred_l3_vecm_1_12_nd <- predict(mod_vecm_l1_sub, n.ahead=2, newdata=barry[n_ca-c(11:10),,drop=FALSE]) > pred_l3_vecm_2_12_nd <- predict(mod_vecm_l1_sub, n.ahead=2, newdata=barry[n_ca-c(10:9),,drop=FALSE]) > pred_l3_vecm_1_12 <- predict(mod_vecm_l1_sub, n.ahead=2) > all.equal(pred_l3_vecm_1_12_nd, pred_l3_vecm_1_12) ## minor: consistency in predict with/withotut newdata=dataset [1] TRUE > > > pred_l3_vecm_nd <- rbind(pred_l3_vecm_0_12_nd, pred_l3_vecm_1_12_nd, pred_l3_vecm_2_12_nd) > all.equal(pred_l3_vecm_nd[c(3,5),], as.M(pred_l3_vecm_roll_12$pred[1:2,1:3]), check.attributes=FALSE) ## check 1-ahead [1] TRUE > all.equal(pred_l3_vecm_nd[c(2,4),], as.M(pred_l3_vecm_roll_12$pred[11:12,1:3]), check.attributes=FALSE) ## check 2 ahead [1] TRUE > > > > #### VECM No refit lag=3 > mod_var_l3_vecm_full <- VECM(barry, lag=3) > mod_var_l3_vecm_sub <- VECM(tsDyn:::myHead(barry,n_ca-10), lag=3) > mod_var_l3_vecm_sub_ref5 <- VECM(tsDyn:::myHead(barry,n_ca-6), lag=3) > > pred_l3_vecm_roll_12<-predict_rolling(object=mod_var_l3_vecm_full, nroll=10, n.ahead=1:2) > pred_l3_vecm_0_12_nd <- predict(mod_var_l3_vecm_sub, n.ahead=2, newdata=barry[n_ca-c(14:11),,drop=FALSE]) > pred_l3_vecm_1_12_nd_ref5 <- predict(mod_var_l3_vecm_sub_ref5, n.ahead=2, newdata=barry[n_ca-c(6:9),,drop=FALSE]) > pred_l3_vecm_0_12_nd_ref5 <- predict(mod_var_l3_vecm_sub_ref5, n.ahead=2, newdata=barry[n_ca-c(7:10),,drop=FALSE]) > pred_l3_vecm_1_12_nd <- predict(mod_var_l3_vecm_sub, n.ahead=2, newdata=barry[n_ca-c(13:10),,drop=FALSE]) > pred_l3_vecm_2_12_nd <- predict(mod_var_l3_vecm_sub, n.ahead=2, newdata=barry[n_ca-c(12:9),,drop=FALSE]) > pred_l3_vecm_1_12 <- predict(mod_var_l3_vecm_sub, n.ahead=2) > all.equal(pred_l3_vecm_1_12_nd, pred_l3_vecm_1_12) ## minor: consistency in predict with/withotut newdata=dataset [1] TRUE > > > pred_l3_vecm_nd <- rbind(pred_l3_vecm_0_12_nd, pred_l3_vecm_1_12_nd, pred_l3_vecm_2_12_nd) > all.equal(pred_l3_vecm_nd[c(3,5),], as.M(pred_l3_vecm_roll_12$pred[1:2,1:3]), check.attributes=FALSE) ## check 1-ahead [1] TRUE > all.equal(pred_l3_vecm_nd[c(2,4),], as.M(pred_l3_vecm_roll_12$pred[11:12,1:3]), check.attributes=FALSE) ## check 2 ahead [1] TRUE > > > ### VECM Refit lag=3 > pred_l3_vecm_roll_12_ref<-predict_rolling(object=mod_var_l3_vecm_full, nroll=10, n.ahead=1:2, refit=5) > pred_l3_vecm_roll_12_ref_b<-predict_rolling(object=mod_var_l3_vecm_full, nroll=10, n.ahead=2, refit=5) > > > pred_l3_vecm_0_12_nd_ref5 <- predict(mod_var_l3_vecm_sub_ref5, n.ahead=2, newdata=barry[n_ca-c(9:6),,drop=FALSE]) > pred_l3_vecm_1_12_nd_ref5 <- predict(mod_var_l3_vecm_sub_ref5, n.ahead=2, newdata=barry[n_ca-c(8:5),,drop=FALSE]) > > pred_l3_vecm_nd_ref5 <- rbind(pred_l3_vecm_0_12_nd_ref5, pred_l3_vecm_1_12_nd_ref5) > all.equal(pred_l3_vecm_nd_ref5[c(2,4),], as.M(pred_l3_vecm_roll_12_ref$pred[16:17,1:3]), check.attributes=FALSE) ## check refited2 ahead [1] TRUE > > ## ECT_plot > out <- lapply(vecm_all, plot_ECT) > sapply(out, head, 1) vecm_OLS_l1_co vecm_OLS_l3_co vecm_OLS_l3_co_betaGiven vecm_OLS_l1_tr ect -0.4545084 -0.4545084 -4.2326 -0.4545084 dolcan 0.001153394 0.0006082884 -0.0008992354 0.0003482016 cpiUSA -0.0251438 -0.01333521 -0.04019653 -0.1105382 cpiCAN -0.0813831 -0.06049475 -0.144493 -0.1770305 vecm_OLS_l1_bo vecm_OLS_l1_no vecm_OLS_l1_coAsExo vecm_OLS_l3_coAsExo ect -0.4545084 -0.4545084 -0.4545084 -0.4545084 dolcan 0.007956622 0.001022915 0.001153394 0.0006082884 cpiUSA 0.007345817 -0.03314451 -0.0251438 -0.01333521 cpiCAN -0.0001447709 -0.09072435 -0.0813831 -0.06049475 vecm_OLS_l1_LRco vecm_OLS_l1_LRtr vecm_OLS_l1_LRtr_noCo vecm_OLS_l1_LRbo ect -0.1558655 -0.1630998 -0.1630998 -0.1564166 dolcan 0.003113811 0.002992424 0.002485131 0.003194878 cpiUSA 0.001405666 0.000190232 -0.02499954 -0.002236726 cpiCAN -0.03341695 0.02349012 -0.007452584 -0.02944616 vecm_OLS_l0_co vecm_OLS_l0_tr vecm_ML_l0_co vecm_ML_l0_tr vecm_ML_l0_bo ect -0.4545084 -0.4545084 1.441025 -14.64726 -24.66032 dolcan 0.001263575 6.465847e-05 -0.00050543 0.008033689 0.04929994 cpiUSA -0.03102259 -0.2181443 -0.0628638 1.360714 0.4751752 cpiCAN -0.08462324 -0.2605686 -0.1186886 1.645908 2.487937 vecm_ML_l0_no vecm_ML_l0_LRco vecm_ML_l0_LRtr vecm_ML_l1_co ect 0.4589814 -2.305229 1.424862 -0.6812142 dolcan 0.00085799 0.001907284 -0.0005006981 0.0007704411 cpiUSA 0.1646956 0.3219679 -0.06209598 -0.03140754 cpiCAN 0.1650311 0.3202096 -0.1174213 -0.09986235 vecm_ML_l3_co vecm_ML_l1_tr vecm_ML_l1_bo vecm_ML_l1_no ect 1.018378 -16.92526 36.35501 0.3783522 dolcan -0.003633502 0.01304026 0.008700458 0.0008339851 cpiUSA -0.04024379 0.7396837 -0.05493892 0.08124423 cpiCAN -0.1083797 1.30016 0.6452826 0.1090658 vecm_ML_l1_coAsExo vecm_ML_l3_coAsExo vecm_ML_l1_LRco vecm_ML_l1_LRc_exo ect -0.6812142 1.018378 -4.615622 -3.522876 dolcan 0.0007704411 -0.003633502 0.002859274 0.003158233 cpiUSA -0.03140754 -0.04024379 0.1838845 0.1879633 cpiCAN -0.09986235 -0.1083797 0.2381703 0.2404049 vecm_ML_l1_LRtr vecm_ML_l1_LRtr_exo vecm_ML_l1_LRtr_noCo vecm_ML_l1_LRbo ect 15.74353 43.90747 -4.730727 -3.858527 dolcan 0.002932208 0.003526974 0.003439915 0.003423022 cpiUSA 0.06447365 0.0670091 0.1959738 0.1942467 cpiCAN 0.4610508 0.4403535 0.2860682 0.2814219 vecm_ML_l1_LRbo_exo ect -3.146147 dolcan 0.003711561 cpiUSA 0.1971003 cpiCAN 0.2815848 > > proc.time() user system elapsed 4.51 0.54 5.04