Description Usage Arguments Details Value Methods Author(s) References See Also Examples

Estimate an asymmetric error correction model (ECM) for two time series.

1 2 |

`y` |
dependent or left-side variable for the long-run regression. |

`x` |
independent or right-side variable for the long-run regression. |

`lag` |
number of lags for variables on the right side. |

`split` |
a logical value (default of TRUE) of whether the right-hand variables should be split into positive and negative parts. |

`model` |
a choice of three models: linear, tar , or mtar cointegration. |

`thresh` |
a threshold value; this is only required when the model is specified as 'tar' or 'mtar.' |

There are two specficiations of an asymmetric ECM. The first one is how to calculate the error correction terms. One way is through linear two-step Engle Granger approach, as specificied by `model="linear"`

. The other two ways are threshold cointegration by either 'tar' or 'mtar' with a threshold value. The second specification is related to the possible asymmetric price transmission in the lagged price variables, as specified in `split = TRUE`

. Note that the linear cointegration specification is a special case of the threshold cointegration. A model with `model="linear"`

is the same as a model with `model="tar", thresh = 0`

.

Return a list object of class "ecm" and "ecmAsyFit" with the following components:

`y` |
dependend variable |

`x` |
independent variable |

`lag` |
number of lags |

`split` |
logical value of whether the right-hand variables are split |

`model` |
model choice |

`IndVar` |
data frame of the right-hand variables used in the ECM |

`name.x` |
name of the independent variable |

`name.y` |
name of the dependent variable |

`ecm.y` |
ECM regression for the dependent variable |

`ecm.x` |
ECM regression for the independent variable |

`data` |
all the data combined for the ECM |

`thresh` |
thresh value for TAR and MTAR model |

Two methods are defined as follows:

`print`

:showing the key outputs.

`summary`

:summarizing thekey outputs.

Changyou Sun ([email protected])

Enders, W., and C.W.J. Granger. 1998. Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics 16(3):304-311.

`print.ecm`

; `summary.ecm`

; `ecmDiag`

; and `ecmAsyTest`

.

1 | ```
# see example at daVich
``` |

```
Loading required package: erer
Loading required package: lmtest
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Loading required package: gWidgets
```

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