MTAR_ECM: MTAR Vector Error Correction Model

In NonlinearTSA: Nonlinear Time Series Analysis

Description

This function allows you to estimate MTAR Vector Error Correction Model with threshold=0

Usage

MTAR_ECM(y, x, lags)

Arguments

y	series name,
x	series name
lags	lag length

Value

"Model" Estimated model

"AIC" Akaike information criteria

"BIC" Schwarz information criteria

References

Enders, W., & Siklos, P. L. (2001). Cointegration and threshold adjustment. Journal of Business & Economic Statistics, 19(2), 166-176.

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

Examples

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

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

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