delta: Calculate the delta coefficient

Description Usage Arguments Value Examples

View source: R/methods.R

Description

Computes the long-run correlation coefficient between the residuals of the predictive regression and the autoregressive model for the regressor.

Usage

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delta(object)

Arguments

object

on object of class "ivx"

Value

A vector of the estimated correlation coefficients. This should have row and column names corresponding to the parameter names given by the coef method.

Examples

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mod <- ivx(Ret ~ LTY, data = monthly)

delta(mod)

ivx documentation built on Nov. 27, 2020, 5:09 p.m.