build_recm_formula: RECM formula specification builder

In ARDL: ARDL, ECM and Bounds-Test for Cointegration

RECM formula specification builder

Description

It creates the RECM (Restricted Error Correction Model) specification according to the given "formula" and the corresponding "order" of the underlying ARDL.

Usage

build_recm_formula(parsed_formula, order, case)

Arguments

parsed_formula	A list containing the formula parts as returned from parse_formula.
order	A numeric vector with the underlying ARDL order as returned from parse_order(restriction = FALSE).
case	An integer from 1-5 or a character string specifying whether the 'intercept' or the 'trend' have to participate in the long-run/cointegrating relationship/equation (see 'Details').

Value

build_recm_formula returns a list containing the full formula and the independent and dependent parts of the formula separated. The full formula is ready to be used as input in the dynlm function providing also the 'ect' (error correction term) to the data.

Author(s)

Kleanthis Natsiopoulos, [e-mail]

See Also

build_ardl_formula, build_uecm_formula

ARDL documentation built on Aug. 21, 2023, 9:10 a.m.