Graphical inspection of VECM residuals

The function plotres should be used for graphical inspection of the VAR residuals, i.e. the estimated specification as elaborated in the `Details' section of ca.jo. It displays the residuals for each equation within a VAR and their acf's and pacf's.

Usage

plotres(x)

Arguments

x

Object of class `ca.jo'.

References

Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and Inference on Cointegration – with Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 2, 169–210.

See also

ca.jo and ca.jo-class.

Author

Bernhard Pfaff

Examples

data(denmark)
sjd <- denmark[, c("LRM", "LRY", "IBO", "IDE")]
sjd.vecm <- ca.jo(sjd, ecdet="const", type="eigen", K=2, spec="longrun",
season=4)
plotres(sjd.vecm)