ECMvar1: Error-Correction VAR Model 1

In MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

Error-Correction VAR Model 1

Description

Perform least-squares estimation of an ECM VAR(p) model with known co-integrating processes

Usage

ECMvar1(x, p, wt, include.const = FALSE, fixed = NULL, output = TRUE)

Arguments

x	A T-by-k data matrix of a k-dimensional co-integrated VAR process
p	VAR order
wt	A T-by-m data matrix of m-dimensional co-integrated process
include.const	A logical switch to include a constant term. Default is no constant.
fixed	A logical matrix to set zero parameter constraints
output	A logical switch to control output

Value

data	The vector time series
wt	The co-integrated series
arorder	VAR order
include.const	Logical switch to include constant
coef	Parameter estimates
aic,bic	Information criteria of the fitted model
residuals	The residual series
Sigma	Residual covariance matrix

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 5). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

See Also

ECMvar

Examples

phi=matrix(c(0.5,-0.25,-1.0,0.5),2,2); theta=matrix(c(0.2,-0.1,-0.4,0.2),2,2)
Sig=diag(2)
mm=VARMAsim(300,arlags=c(1),malags=c(1),phi=phi,theta=theta,sigma=Sig)
zt=mm$series
wt=0.5*zt[,1]+zt[,2]
m1=ECMvar1(zt,3,wt)
names(m1)

MTS documentation built on April 11, 2022, 5:07 p.m.