ecmDiag: Diagnostic Statitics for Symmetric or Asymmetric ECMs
In apt: Asymmetric Price Transmission
ecmDiag R Documentation
Diagnostic Statitics for Symmetric or Asymmetric ECMs
Description
Report a set of diagnostic statistics for symmetric or asymmetric error correction models
Usage
ecmDiag(m, digits = 2)
Arguments
m
an object of class ecm from the function of ecmAsyFit or ecmSymFit.
digits
number of digits used in rounding outputs.
Details
Compute several diagnostic statistics for each ECM equation. This is mainly used to assess the serial correlation in the residuals and model adequacy.
Value
Return a data frame object with the following components by equation: R-squared, Adjusted R-squared, F-statistic, Durbin Watson statistic, p-value for DW statistic, AIC, BIC, and p-value of Ljung_Box Q statistics with 4, 8, 12 autocorrelation coefficients.
Author(s)
Changyou Sun (edwinsun258@gmail.com)
References
Enders, W. 2004. Applied Econometric Time Series. John Wiley & Sons, Inc., New York. 480 P.
See Also
ecmAsyFit; ecmSymFit; and ecmDiag.
Examples
# see example at daVich
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| ecmDiag | R Documentation |
Diagnostic Statitics for Symmetric or Asymmetric ECMs
Description
Report a set of diagnostic statistics for symmetric or asymmetric error correction models
Usage
ecmDiag(m, digits = 2)
Arguments
m |
an object of class |
digits |
number of digits used in rounding outputs. |
Details
Compute several diagnostic statistics for each ECM equation. This is mainly used to assess the serial correlation in the residuals and model adequacy.
Value
Return a data frame object with the following components by equation: R-squared, Adjusted R-squared, F-statistic, Durbin Watson statistic, p-value for DW statistic, AIC, BIC, and p-value of Ljung_Box Q statistics with 4, 8, 12 autocorrelation coefficients.
Author(s)
Changyou Sun (edwinsun258@gmail.com)
References
Enders, W. 2004. Applied Econometric Time Series. John Wiley & Sons, Inc., New York. 480 P.
See Also
ecmAsyFit; ecmSymFit; and ecmDiag.
Examples
# see example at daVich
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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