VECM_symbolic: Virtual VECM model

In tsDyn: Nonlinear Time Series Models with Regime Switching

Virtual VECM model

Description

Pedagogical tool to create a symbolic VECM model, i.e. just for representation purpose.

Usage

VECM_symbolic(
  alpha,
  beta,
  lags,
  inc,
  include = c("none", "const", "trend", "both")
)

Arguments

alpha	Matrix of alpha speed adjustment coefficients.
beta	Matrix of alpha, cointegrating coefficients.
lags	Matrix containing the lags coefficients.
inc	Matrix containing the include (see following arg.) coefficients.
include	Character indicating the type of deterministic term included, if any.

Value

An object of class ‘VECM’, without however any data.

Examples

 a<-matrix(c(-0.4, 0.1), ncol=1)
 b<-matrix(c(1, -2), ncol=2)

 # VECM_symb(alpha=a, beta=t(b))
 d<- VECM_symbolic(alpha=a, beta=t(b))
 VARrep(d)
 d<- VECM_symbolic(alpha=a, beta=t(b), lags=matrix(0, ncol=2, nrow=2))
 VARrep(d)
 LagMat <- matrix(c(0.1, 0.3, 0.1, 0.2), ncol=2, nrow=2)
 incMat <- matrix(c(0.5, 0.1), ncol=1)
 d3<- VECM_symbolic(alpha=a, beta=t(b), lags=LagMat, inc=incMat, include="const")
 VARrep(d3)

tsDyn documentation built on Oct. 31, 2024, 5:08 p.m.