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Estimate VEC Model Parameters Using jcitest

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In addition to testing for multiple cointegrating relations,jcitestproduces maximum likelihood estimates of VEC model coefficients under the rank restrictions onB. Estimation information is returned in an optional fifth output argument, and can be displayed by setting an optional input parameter. For example, the following estimates a VEC(2) model of the data, and displays the results under each of the rank restrictionsr= 0,r= 1, andr= 2:

loadData_CanadaY =数据(:,3:结束);%的利率数据[~,~,~,~,mles] = jcitest(Y,'model','H1','lags',2,...'display','params');
**************************** Parameter Estimates (Test 1) r = 0 ------ B1 = -0.1848 0.5704 -0.3273 0.0305 0.3143 -0.3448 0.0964 0.1485 -0.1406 B2 = -0.6046 1.6615 -1.3922 -0.1729 0.4501 -0.4796 -0.1631 0.5759 -0.5231 c1 = 0.1420 0.1517 0.1508 r = 1 ------ A = -0.6259 -0.2261 -0.0222 B = 0.7081 1.6282 -2.4581 B1 = 0.0579 1.0824 -0.8718 0.1182 0.4993 -0.5415 0.1050 0.1667 -0.1600 B2 = -0.5462 2.2436 -1.7723 -0.1518 0.6605 -0.6169 -0.1610 0.5966 -0.5366 c0 = 2.2351 c1 = -0.0366 0.0872 0.1444 r = 2 ------ A = -0.6259 0.1379 -0.2261 -0.0480 -0.0222 0.0137 B = 0.7081 -2.4407 1.6282 6.2883 -2.4581 -3.5321 B1 = 0.2438 0.6395 -0.6729 0.0535 0.6533 -0.6107 0.1234 0.1228 -0.1403 B2 = -0.3857 1.7970 -1.4915 -0.2076 0.8158 -0.7146 -0.1451 0.5524 -0.5089 c0 = 2.0901 -3.0289 c1 = -0.0104 0.0137 0.1528

mlesis a tabular array of structure arrays, with each structure containing information for a particular test under a particular rank restriction. Since both tabular arrays and structure arrays use similar indexing, you can access the tabular array and then the structure using dot notation. For example, to access the rank 2 matrix of cointegrating relations:

B = mles.r2.paramVals.B
B =3×20.7081 -2.4407 1.6282 6.2883 -2.4581 -3.5321

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