具有p值和標準誤差的vecm模型的代碼

Question

我已經運行VECM模型並且只有係數值。我怎樣才能在p - 值和標準差在相同的結果

Answer 1

據我所知，答案是：

library(urca) 

以下爲度。未經調整的自由度：

coeftest(cajorls(ca.jo(finland, ecdet="none", type="eigen", K=2),r=1)$rlm) 
coef(summary(cajorls(ca.jo(finland, ecdet="none", type="eigen", K=2), r=1)$rlm)) 

以下是deg。自由的調整：

V1.eigen <- ca.jo(finland, ecdet="none", type="eigen", K=2) # rank=1 
vecm <- cajorls(V1.eigen, r=1) 
beta <- V1.eigen@V[,1] 
alfa <- V1.eigen@W[,1] 
residuals <- resid(vecm$rlm) 
N <- nrow(residuals) 
sigma <- crossprod(residuals)/N  
beta.se <- sqrt(diag(kronecker(solve(crossprod(V1.eigen@RK[,-1])), solve(t(alfa)%*%solve(sigma) %*% alfa)))) 
beta.t <- c(NA, beta[-1]/beta.se) # deg.of freedom adjusted 
names(beta.t) <- rownames(cajorls(ca.jo(finland, ecdet="none", type="eigen", K=2), r=1)$beta) 
beta.t 
beta.pval <- dt(beta.t, df=vecm$rlm$df.residual) 
beta.pval 

從here鼓舞人心的，可以建議（對於一個整潔的演示）：

library(texreg) 
cajo_beta_create <- function(cajo_o, cajorls_o) { 
alfa <- coef(cajorls_o$rlm)[1, ] 
residuals <- resid(cajorls_o$rlm) 
N <- nrow(residuals) 
sigma <- crossprod(residuals)/N 
beta <- cajorls_o$beta 
# standard errors 
beta.se <- sqrt(diag(kronecker(solve(crossprod(cajo_o@RK[, -1])), solve(t(alfa) %*% solve(sigma) %*% alfa)))) 
beta.se2 <- c(NA, beta.se) 
beta.t <- c(NA, beta[-1]/beta.se) 
beta.pvalue <- dt(beta.t, df=cajorls_o$rlm$df.residual)  # p values 

tr <- createTexreg(coef.names = as.character(rownames(beta)), coef = as.numeric(beta), se = beta.se2, pvalues=beta.pvalue, 
gof.names = c('Dummy'), gof=c(1), gof.decimal=c(FALSE)) 
return(tr) 
} 
cajo_beta_create(V1.eigen, vecm) 
screenreg(cajo_beta_create(V1.eigen, vecm))