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vec2var.jomoni.R
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vec2var.jomoni.R
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vec2var.jomoni <- function (z, r = 1){
if (!(class(z) == "ca.jomoni")) {
stop("\nPlease, provide object of class 'ca.jomoni' as 'z'.\n")
}
r <- as.integer(r)
if (!({
1 <= r
} && {
r < ncol(z@x)
})) {
stop(paste("\nThe cointegration rank 'r' must be in the interval [2:",
ncol(z@x) - 1, "].\n", sep = ""))
}
etc <- z@ZK %*% z@V[, 1:r]
colnames(etc) <- paste("etc", 1:r, sep = "")
coeffs <- coef(lm(z@Z0 ~ -1 + as.numeric(etc) + z@Z1))
rownames(coeffs) <- c(colnames(etc), colnames(z@Z1))
PI <- z@W[, 1:r] %*% t(z@V[, 1:r])
# Number of columns in the break.matrix
n.breaks <- ncol([email protected])
if (is.null(n.breaks)){
n.breaks <- 0
} else {
n.breaks <- as.integer(ncol([email protected]))
}
# Additional if conditions to account for all cases possible with ca.jomoni
# Take into account the number of cols, which are part of the break.matrix
# - no constant --nc
# - restricted constant, i.e. constant in the cointegration vector --rc
# - unrestricted constant, i.e. constant in the VECM equation, not in the cointegration vector --uc
# - constant + restricted trend, i.e. constant in the VECM equation and restricted trend in the cointegration vector --crt
# - constant + unrestricted trend, i.e. constant and trend in the VECM equation, not in the cointegration vector --ct
if (z@ecdet == "nc") {
if(n.breaks == 0){
detcoeffs <- matrix( nrow = 0, ncol = ncol(z@x),
byrow = TRUE)
colnames(detcoeffs) <- colnames(z@x)
PI <- PI
rhs <- z@Z1
} else {
detcoeffs <- matrix(PI[, (z@P + 1):(z@P + n.breaks)], nrow = n.breaks, ncol = ncol(z@x),
byrow = TRUE)
rownames(detcoeffs) <- colnames(PI[, (z@P + 1): (z@P + n.breaks)])
colnames(detcoeffs) <- colnames(z@x)
PI <- PI[, -((z@P + 1): (z@P + n.breaks))]
rhs <- z@Z1
# Add the columns of the break.matrix
# Add the additional constant or trend
rhs <- cbind([email protected][-(1:z@lag),], z@Z1)
colnames(rhs) <- c(colnames([email protected]), colnames(z@Z1))
}
} else if (z@ecdet == "rc") {
if(n.breaks == 0){
detcoeffs <- matrix(PI[, z@P + 1], nrow = 1, ncol = ncol(z@x),
byrow = TRUE)
rownames(detcoeffs) <- "constant"
colnames(detcoeffs) <- colnames(z@x)
PI <- PI[, -(z@P + 1)]
rhs <- cbind(1, z@Z1)
colnames(rhs) <- c("constant", colnames(z@Z1))
} else {
detcoeffs <- matrix(PI[, (z@P + 1) : (z@P + n.breaks + 1) ], nrow = n.breaks + 1, ncol = ncol(z@x),
byrow = TRUE)
rownames(detcoeffs) <- colnames(PI[, (z@P + 1) : (z@P + n.breaks + 1)])
colnames(detcoeffs) <- colnames(z@x)
PI <- PI[, -((z@P + 1) : (z@P + n.breaks + 1))]
rhs <- z@Z1
rhs <- cbind(1, [email protected][-(1:z@lag),], z@Z1)
colnames(rhs) <- c("constant", colnames([email protected]), colnames(z@Z1))
}
} else if (z@ecdet == "uc") {
if(n.breaks == 0){
detcoeffs <- matrix( nrow = 0, ncol = ncol(z@x),
byrow = TRUE)
colnames(detcoeffs) <- colnames(z@x)
PI <- PI
rhs <- z@Z1
} else {
detcoeffs <- matrix(PI[, (z@P + 1) : (z@P + n.breaks)], nrow = n.breaks, ncol = ncol(z@x),
byrow = TRUE)
rownames(detcoeffs) <- colnames(PI[, (z@P + 1) : (z@P + n.breaks)])
colnames(detcoeffs) <- colnames(z@x)
PI <- PI[, -((z@P + 1) : (z@P + n.breaks))]
rhs <- cbind([email protected][-(1:z@lag),], z@Z1)
colnames(rhs) <- c(colnames([email protected]), colnames(z@Z1))
}
} else if (z@ecdet == "crt") {
if(n.breaks == 0){
detcoeffs <- matrix(PI[, z@P + 1], nrow = 1, ncol = ncol(z@x),
byrow = TRUE)
rownames(detcoeffs) <- colnames(PI[, z@P + 1])
colnames(detcoeffs) <- colnames(z@x)
PI <- PI[, -(z@P + 1)]
rhs <- cbind( z@ZK[, z@P + 1], z@Z1)
colnames(rhs) <- c(colnames(z@ZK)[z@P+1], colnames(z@Z1))
} else {
detcoeffs <- matrix(PI[, (z@P + 1) : (z@P + n.breaks + 1) ], nrow = n.breaks + 1, ncol = ncol(z@x),
byrow = TRUE)
rownames(detcoeffs) <- colnames(PI[, (z@P + 1) : (z@P + n.breaks + 1)])
colnames(detcoeffs) <- colnames(z@x)
PI <- PI[, -((z@P + 1) : (z@P + n.breaks + 1))]
rhs <- cbind( z@ZK[, z@P + 1], [email protected][-(1:z@lag),], z@Z1)
colnames(rhs) <- c(colnames(z@ZK)[z@P+1], colnames([email protected]), colnames(z@Z1))
}
} else if (z@ecdet == "ct"){
if(n.breaks == 0){
detcoeffs <- matrix( nrow = 0, ncol = ncol(z@x),
byrow = TRUE)
colnames(detcoeffs) <- colnames(z@x)
PI <- PI
rhs <- z@Z1
} else {
detcoeffs <- matrix(PI[, (z@P + 1) : (z@P + n.breaks)], nrow = n.breaks, ncol = ncol(z@x),
byrow = TRUE)
rownames(detcoeffs) <- colnames(PI[, (z@P + 1) : (z@P + n.breaks)])
colnames(detcoeffs) <- colnames(z@x)
PI <- PI[, -((z@P + 1) : (z@P + n.breaks))]
rhs <- cbind([email protected][-(1:z@lag),], z@Z1)
colnames(rhs) <- c(colnames([email protected]), colnames(z@Z1))
}
}
if (!(is.null(eval(z@season)))) {
seas <- eval(z@season) - 1
season <- paste("sd", 1:seas, sep = "")
detcoeffs <- rbind(detcoeffs, coeffs[season, ])
}
if (!(is.null(eval(z@dumvar)))) {
dumnames <- colnames(z@dumvar)
tmp <- rownames(detcoeffs)
detcoeffs <- rbind(detcoeffs, coeffs[dumnames, ])
rownames(detcoeffs) <- c(tmp, dumnames)
}
detcoeffs <- t(detcoeffs)
Gamma <- t(coeffs[-which(rownames(coeffs) %in% c(colnames(detcoeffs),
colnames(etc))), ])
rownames(Gamma) <- colnames(z@x)
A <- list()
if (identical(z@spec, "transitory")) {
if (identical(z@lag, as.integer(2))) {
A$A1 <- Gamma + PI + diag(z@P)
rownames(A$A1) <- colnames(z@x)
colnames(A$A1) <- paste(colnames(z@x), ".l1", sep = "")
A$A2 <- -1 * Gamma
rownames(A$A2) <- colnames(z@x)
colnames(A$A2) <- paste(colnames(z@x), ".l2", sep = "")
}
else if (z@lag > 2) {
idx.end <- seq(from = z@P, by = z@P, length.out = z@lag -
1)
idx.start <- idx.end - z@P + 1
A[[1]] <- Gamma[, idx.start[1]:idx.end[1]] + PI +
diag(z@P)
rownames(A[[1]]) <- colnames(z@x)
colnames(A[[1]]) <- paste(colnames(z@x), ".l1", sep = "")
for (i in 2:(z@lag - 1)) {
A[[i]] <- Gamma[, idx.start[i]:idx.end[i]] -
Gamma[, idx.start[i - 1]:idx.end[i - 1]]
rownames(A[[i]]) <- colnames(z@x)
colnames(A[[i]]) <- paste(colnames(z@x), ".l",
i, sep = "")
}
A[[z@lag]] <- -1 * Gamma[, tail(idx.start, 1):tail(idx.end,
1)]
rownames(A[[z@lag]]) <- colnames(z@x)
colnames(A[[z@lag]]) <- paste(colnames(z@x), ".l",
z@lag, sep = "")
names(A) <- paste("A", 1:z@lag, sep = "")
}
}
if (identical(z@spec, "longrun")) {
if (identical(z@lag, as.integer(2))) {
A$A1 <- Gamma + diag(z@P)
rownames(A$A1) <- colnames(z@x)
colnames(A$A1) <- paste(colnames(z@x), ".l1", sep = "")
A$A2 <- PI + diag(z@P) - A$A1
rownames(A$A2) <- colnames(z@x)
colnames(A$A2) <- paste(colnames(z@x), ".l2", sep = "")
}
else if (z@lag > 2) {
idx.end <- seq(from = z@P, by = z@P, length.out = z@lag -
1)
idx.start <- idx.end - z@P + 1
A[[1]] <- Gamma[, idx.start[1]:idx.end[1]] + diag(z@P)
rownames(A[[1]]) <- colnames(z@x)
colnames(A[[1]]) <- paste(colnames(z@x), ".l1", sep = "")
for (i in 2:(z@lag - 1)) {
A[[i]] <- Gamma[, idx.start[i]:idx.end[i]] -
Gamma[, idx.start[i - 1]:idx.end[i - 1]]
rownames(A[[i]]) <- colnames(z@x)
colnames(A[[i]]) <- paste(colnames(z@x), ".l",
i, sep = "")
}
A[[z@lag]] <- PI - Gamma[, tail(idx.start, 1):tail(idx.end,
1)]
rownames(A[[z@lag]]) <- colnames(z@x)
colnames(A[[z@lag]]) <- paste(colnames(z@x), ".l",
z@lag, sep = "")
names(A) <- paste("A", 1:z@lag, sep = "")
}
}
datamat <- embed(z@x, dimension = z@lag + 1)
datamat <- cbind(datamat[, 1:ncol(z@x)], rhs[, colnames(detcoeffs)],
datamat[, -c(1:ncol(z@x))])
temp1 <- NULL
for (i in 1:z@lag) {
temp <- paste(colnames(z@x), ".l", i, sep = "")
temp1 <- c(temp1, temp)
}
colnames(datamat) <- c(colnames(z@x), colnames(detcoeffs),
temp1)
resids <- datamat[, colnames(z@x)] - datamat[, colnames(detcoeffs)] %*%
t(detcoeffs)
for (i in 1:z@lag) {
resids <- resids - datamat[, colnames(A[[i]])] %*% t(A[[i]])
}
colnames(resids) <- paste("resids of", colnames(z@x))
result <- list(deterministic = detcoeffs, A = A, p = z@lag,
K = ncol(z@x), y = z@x, obs = nrow(z@Z0), totobs = nrow(z@x),
call = match.call(), vecm = z, datamat = datamat, resid = resids,
r = r)
class(result) <- "vec2var"
return(result)
}