ecmDiag: Diagnostic Statitics for Symmetric or Asymmetric ECMs

In apt: Asymmetric Price Transmission

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 ([e-mail])

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

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.