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View Code? Open in Web Editor NEWR Implementation of the Time Varying Cointegration by Bierens and Martins 2010
R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
Hi!
Thanks for your contribution! However, I have had some problems:
Evaluating:
lnlikm[m,r] <- (log(r, base = exp(1))-k-k*log((2*pi), base = exp(1)))*(n-p-1)/2 - sum(llm[1:r])*(n-p-1)/2 - (log(detm, base = exp(1)))*(n-p-1)/2;
Is not obtained previously "detm". I suposse, by looking at the paper that detm=detS00 ?
Secondly, If I change lags to a number greater than 2, the code doesn´t work. It seems that lag.data.table doesn´t do it propperly. Could it be?
And finally, which are the final betas I have to use? I have some confusion with that.
Thanks a lot and very nice work!
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