averageCORgvecm: Comparing average residual correlations of GVECM and VECM.

In GVARX: Perform Global Vector Autoregression Estimation and Inference

Comparing average residual correlations of GVECM and VECM.

Description

Average pairwise cross-section residual correlations of GVECM and VECM.

Usage

averageCORgvecm(out)

Arguments

out	Estimation results object generated by GVECMest

Details

This function compares the dependency of residuals in VAR and GVAR.

Value

vecmRSDcor	A list object of average residual correlations of country-specific VECM
gvecmRSDcor	A list object of average residual correlations of country-specific VECM augmented by foreign variables(GVECM)

Author(s)

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

References

Mauro Filippo di and Pesaran H. M. (2013) The GVAR Handbook– Structure and Applications of a Macro Model of the Global Economy for Policy. Oxford University Press.

Examples

data("PriceVol")
data("tradeweight1")
data("tradeweightx")
p=2
FLag=2
lag.max=15
type="const"
ic="SC"
weight.matrix=tradeweightx
mainOUTPUT = GVECMest(data=PriceVol,p,lag.max,type,ic,weight.matrix)

cor2_avg=averageCORgvecm(out=mainOUTPUT)
as.matrix((cor2_avg$vecmRSDcor)[[1]])
as.matrix((cor2_avg$vecmRSDcor)[[2]])

as.matrix(cor2_avg$gvecmRSDcor[[1]])
as.matrix(cor2_avg$gvecmRSDcor[[2]])

GVARX documentation built on Feb. 16, 2023, 10:56 p.m.