ecmAsyTest: Hypothesis Tests on Asymmetric Error Correction Model

In apt: Asymmetric Price Transmission

Description

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

Usage

ecmAsyTest(w, digits = 3)

Arguments

w	an object of 'ecmAsyFit' class.
digits	number of digits used in rounding outputs.

Details

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.

Value

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

Methods

One method is are defined as follows:

print:

This shows the out component in the returned list object.

Author(s)

Changyou Sun ([e-mail])

References

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

See Also

ecmAsyFit and ecmDiag.

Examples

# see example at daVich

Example output

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 1, 2020, 9:06 a.m.