Estimate the specific CVAR sub-system using the Johansen procedure

Usage

estimate_cvar(
  clean_data,
  system_name,
  dep_vars_basename,
  x_vars_basename,
  use_logs,
  cvar.ar,
  freq,
  coint_deterministic = c("none", "const", "trend"),
  coint_significance = c("1pct", "5pct", "10pct"),
  quiet = FALSE
)

Arguments

clean_data: An input data.frame or tibble. Must be the output of clean_data() to fit all requirements.
system_name: A character string specifying the name of the CVAR sub-system.
dep_vars_basename: A character string of the names of the dependent variable separated by a comma, and contained in clean_data() in a level form (i.e. no ln or D in front of the name).
x_vars_basename: A character vector of the name(s) of the independent variable(s), and contained in clean_data() in a level form (i.e. no ln or D in front of the name). Can be an empty string if no exogenous regressors are included.
use_logs: To decide whether to log any variables. Must be one of 'both', 'y', 'x', or 'none'. Default is 'both'.
cvar.ar: Number of lags of the VAR system in levels. Must be > 2.
freq: Data frequency if want to include seasonal dummies, NULL otherwise.
coint_deterministic: Character specifying whether and if yes which deterministic component to include in the cointegrating relationship.
coint_significance: Significance level for the rank test for cointegration. Can only be one of '1pct', '5pct', '10pct'.
quiet: Logical with default = FALSE. Should messages be displayed? These messages are intended to give more information about the estimation and data retrieval process.

Value

A list with class 'osem.cvar' containing unit root tests for the variables involved, the resulting CVAR model, and the argument setting:

cointtest: An object of ca.jo-class with the cointegration test result.
vecm: A list storing the restricted vector error correction model as returned by urca::cajorls().
varm: An object storing the restricted vector autoregressive model in levels as returned by vars::vec2var().
rank: The CVAR rank as determined by Johansen's trace test.
urtest: A list of two lists storing the augmented Dickey-Fuller unit root tests for all x and y variables as class ur.df-class.
args: A list storing the settings of the function call.