test_restriction
Tests restrictions on alpha, beta, or Gamma of a VEC using likelihood ratio, reporting LR, degrees of freedom, chi-square p-value, and both log-likelihoods.
Instructions
C3 — A restriction on alpha, beta or Gamma of the current VEC, tested by LIKELIHOOD RATIO (never by the .out's Wald, which depends on the normalisation): LR, its degrees of freedom and chi2 p-value, both logLs.
weakex: a series' name — weak exogeneity, its row of alpha at zero ("who
corrects": it does not adjust to the equilibrium). alpha: alpha = A psi,
A as a JSON matrix (rows in drvec's order, as estimate_vec prints it) or a
file in drvec's format ("M sa", then M rows) — jointly for several
series. fixb2: every entry of B2 held at this VALUE (required: without
one drvec holds B2 at its static OLS value, which is not a test); fixb2=0
in the mixed case is the ladder's model. fixb2row: rows of B2 held,
"NAME=value, NAME2=value". weakex/alpha combine with fixb2row (the joint
LR). gamma: NO FEEDBACK in the short run, "R30,R3 <- R0T" (the equations,
then the regressors; "A <- B; C <- D" for several): Gamma_k[eq][reg] = 0 at
every lag (drvec -gzero; p >= 2, q = 0). With weakex/alpha on the same
inputs it is the CONDITIONAL model's joint test (weak exogeneity and no
feedback, Johansen 1992): when it holds, the report offers mtram with the
same files and the roles. gamma does not combine with fixb2/fixb2row.
drvec fits the free model of these LRs as the C does (one est() from a
cold start for alpha and weakex; no ladder for fixb2row), so its free logL
can be below the adopted VEC's and the LR understated: sima takes the BEST
FREE FIT it knows, says which, and shows both when they differ. adopt:
the restricted VEC becomes the current model. Not available (drvec):
restrictions on one cointegrating vector, a bootstrap of this LR, a rank
under a restriction.
Tool call template
Replace each placeholder with a value matching the input schema. Only required parameters are included; add optional parameters as needed.
{
"id": 1,
"jsonrpc": "2.0",
"method": "tools/call",
"params": {
"arguments": {
"name": "<name>"
},
"name": "test_restriction"
}
}Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| name | Yes | ||
| adopt | No | ||
| alpha | No | ||
| fixb2 | No | ||
| gamma | No | ||
| weakex | No | ||
| fixb2row | No |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| result | Yes |