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

Estimate a symmetric error correction model (ECM) for two time series.

1 |

`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. |

The package `apt`

focuses on price transmission between two series. This function estimates a standard error correction model for two time series. While it can be extended for more than two series, it is beyond the objective of the package now.

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

`y` |
dependend variable |

`x` |
independent variable |

`lag` |
number of lags |

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

`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 |

Changyou Sun ([email protected])

Enders, W. 2004. Applied Econometric Time Series. John Wiley & Sons, Inc., New York. 480 P.

`print.ecm`

; `summary.ecm`

; `ecmDiag`

; and `ecmAsyFit`

.

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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