library(vars)
data(finland)

#lrm1 Logarithm of real money, M1.
#lny Logarithm of real income.
#lnmr Marginal rate of interest.
#difp Inflation rate

sjf <- finland
sjf.vecm1 <- ca.jo(sjf, ecdet = "none", type = "eigen", K = 2,spec = "longrun", season = 4)
summary(sjf.vecm1)
sjf.vecm2 <- ca.jo(sjf, ecdet = "none", type = "eigen", K = 2,spec = "transitory", season = 4)
summary(sjf.vecm2)
sjf.vecm1.ls <- cajools(sjf.vecm1)
summary(sjf.vecm1.ls)
sjf.vecm2.ls <- cajools(sjf.vecm2)
summary(sjf.vecm2.ls)
sjf.vecm1.rls <- cajorls(sjf.vecm1, r = 2)
summary(sjf.vecm1.rls$rlm)
sjf.vecm.rls$beta

data(denmark)

#period
#Time index from 1974:Q1 until 1987:Q3.
#LRM Logarithm of real money, M2.
#LRY Logarithm of real income.
#LPY Logarithm of price deflator.
#IBO Bond rate.
#IDE Bank deposit rate.

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

HD0 <- matrix(c(-1, 1, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 1, 0, 0, 0, 0, 0, 1), c(5,4))
summary(blrtest(sjd.vecm, H=HD0, r=1))

DA <- matrix(c(1,0,0,0), c(4,1))
summary(alrtest(sjd.vecm, A=DA, r=1))

HD1 <- matrix(c(1, -1, 0, 0, 0, 0, 0, 1, -1, 0, 0, 0, 0, 0, 1), c(5,3))
DA <- matrix(c(1,0,0,0, 0, 1, 0, 0, 0, 0, 0, 1), c(4,3))
summary(ablrtest(sjd.vecm, H=HD1, A=DA, r=1))


data(UKpppuip)

#p1 UK wholesale price index.
#p2 Trade weighted foreign whole sale price index.
#e12 UK effective exchange rate.
#i1 Three-month treasury bill rate in the UK.
#i2 Three-month Eurodollar interest rate.
#dpoil0 World oil price at periodt.
#dpoil1 World oil price at periodt-1.

attach(UKpppuip)
dat1 <- cbind(p1, p2, e12, i1, i2)
dat2 <- cbind(doilp0, doilp1)
H1 <- ca.jo(dat1, type='trace', K=2, season=4, dumvar=dat2)

H51 <- c(1, -1, -1, 0, 0)
H52 <- c(0, 0, 0, 1, -1)
summary(bh5lrtest(H1, H=H51, r=2))
summary(bh5lrtest(H1, H=H52, r=2))


H1 <- ca.jo(dat1, type='trace', K=2, season=4, dumvar=dat2)
H6 <- matrix(c(1,0,0,0,0, 0,1,0,0,0, 0,0,1,0,0), c(5,3))
summary(bh6lrtest(z=H1, H=H6, r=2, r1=1, conv.val=0.0001, max.iter=50))