ESTAR_ECM: STAR Vector Error Correction Model

In NonlinearTSA: Nonlinear Time Series Analysis

Description

This function allows you to estimate ESTAR Vector Error Correction Model

Usage

ESTAR_ECM(y, x, lags)

Arguments

y	series name,
x	series name
lags	lag length

Details

Exponential smooth transition error correction model as follows:

Value

"Model" Estimated model

"AIC" Akaike information criteria

"BIC" Schwarz information criteria

References

Kapetanios, G., Shin, Y., & Snell, A. (2006). Testing for cointegration in nonlinear smooth transition error correction models. Econometric Theory, 22(2), 279-303.

Burak Guris, R Uygulamalı Dogrusal Olmayan Zaman Serileri Analizi, DER Yayinevi, 2020.

Examples

x <- cumsum(rnorm(1000))
y <- cumsum(rnorm(1000))
ESTAR_ECM(x, y, lags = 6)

data(MarketPrices)
ESTAR_ECM(MarketPrices[,1],MarketPrices[,2],lags = 2)

NonlinearTSA documentation built on Jan. 23, 2021, 5:05 p.m.