ec.main: Forecast with Vector Error Correction Model

In cif: Cointegrated ICU Forecasting

Forecast with Vector Error Correction Model

Description

This function estimate VECM model. Selects begtrim and entrim period, define lag and run.

Usage

ec.main(
  y,
  ndet = c(2, 1),
  nlag,
  befpn,
  breaks = NA,
  booseas = NA,
  pntdates = NA,
  drop1 = NA,
  drop2 = NA,
  cal,
  kval = 1.959964
)

Arguments

y	matrix with time across rows and variables in columns
ndet	vector of lenght 3, (i,j,q): i for EG1-st stage, j for EG-2nd stage, q number of breaks i,j=0 no deterministics i,j=1 constant i,j=2 constant and trend
nlag	number of lags in the VAR
befpn	begtrim, endtrim, nforecast, npred
breaks	vector with observation numbers for T1,T2,...
booseas	boolean =T if seasonal dummies, =F otherwise
pntdates	vector with observation numbers for point dummies
drop1	selection of det1 regressors in first stage to drop
drop2	selection of det1 regressors in second stage to drop
cal	calendar for the y matrix
kval	how many se to use, default kval=1.959964

Value

results Output contains the a set of estimates and forecasting results.

Author(s)

P. Berta, P. Paruolo, S. Verzillo, PG. Lovaglio

References

Berta et al. 2020

cif documentation built on March 18, 2022, 6:14 p.m.