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 (cs258@msstate.edu)
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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