ecmSymFit: Fitting symmetric Error Correction Model

In apt: Asymmetric Price Transmission

Fitting symmetric Error Correction Model

Description

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

Usage

ecmSymFit(y, x, lag = 1)

Arguments

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.

Details

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.

Value

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

Author(s)

Changyou Sun ([e-mail])

References

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

See Also

print.ecm; summary.ecm; ecmDiag; and ecmAsyFit.

Examples

# see example at daVich

apt documentation built on Oct. 1, 2024, 5:08 p.m.