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

Conduct several F-tests on the coefficients from asymmetric ECM.

1 | ```
ecmAsyTest(w, digits = 3)
``` |

`w` |
an object of 'ecmAsyFit' class. |

`digits` |
number of digits used in rounding outputs. |

There are two ECM equations for the two price series. In each equation, four types of hypotheses are tested; equilibrium adjustment path symmetry on the error correction terms (H1), Granger causality test (H2), distributed lag symmetry at each lag (H3), and cumulative asymmetry of all lags (H4). The latter two tests are only feasible and availabe for models with split variables. The number of H3 tests is equal to the number of lags.

Return a list object with the following components:

`H1ex` |
H01 in equation x: equilibrium adjustment path symmetry |

`H1ey` |
H01 in equation y: equilibrium adjustment path symmetry |

`H2xx` |
H02 in equation x: x does not Granger cause x |

`H2yx` |
H02 in equation y: x does not Granger cause y |

`H2xy` |
H02 in equation x: y does not Granger cause x |

`H2yy` |
H02 in equation y: y does not Granger cause y |

`H3xx` |
H03 in equation x: distributed lag symmetry of x at each lag |

`H3yx` |
H03 in equation y: distributed lag symmetry of x at each lag |

`H3xy` |
H03 in equation x: distributed lag symmetry of y at each lag |

`H3yy` |
H03 in equation y: distributed lag symmetry of y at each lag |

`H4xx` |
H04 in equation x: cumulative asymmetry of x for all lags |

`H4yx` |
H04 in equation y: cumulative asymmetry of x for all lags |

`H4xy` |
H04 in equation x: cumulative asymmetry of y for all lags |

`H4yy` |
H04 in equation y: cumulative asymmetry of y for all lags |

`out` |
summary of the four types of hypothesis tests |

One method is are defined as follows:

`print`

:This shows the

`out`

component in the returned list object.

Changyou Sun ([email protected])

Frey, G., and M. Manera. 2007. Econometric models of asymmetric price transmission. Journal of Economic Surveys 21(2):349-415.

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
```

apt documentation built on May 30, 2017, 6:07 a.m.

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