gecm.to.adl: Translate the coefficients from the General Error Correction...

In tseffects: Dynamic Inferences from Time Series (with Interactions)

Translate the coefficients from the General Error Correction Model (GECM) to the autoregressive distributed lag (ADL) model

Description

Translate the coefficients from the General Error Correction Model (GECM) to the autoregressive distributed lag (ADL) model

Usage

gecm.to.adl(x.vrbl, y.vrbl, x.d.vrbl, y.d.vrbl)

Arguments

x.vrbl	a named vector of the x variables (of the lower level of differencing, usually in levels d = 0) and corresponding lag orders in the GECM model
y.vrbl	a named vector of the (lagged) y variables (of the lower level of differencing, usually in levels d = 0) and corresponding lag orders in the GECM model
x.d.vrbl	a named vector of the x variables (of the higher level of differencing, usually first differences d = 1) and corresponding lag orders in the GECM model
y.d.vrbl	a named vector of the y variables (of the higher level of differencing, usually first differences d = 1) and corresponding lag orders in the GECM model

Details

gecm.to.adl utilizes the mathematical equivalence between the GECM and ADL models to translate the coefficients from one to the other. This way, we can apply a single function using the ADL math to calculate effects

Value

a list of named vectors of translated ADL coefficients for the x and y variables of interest

Author(s)

Soren Jordan, Garrett N. Vande Kamp, and Reshi Rajan

Examples

# GECM(1,1)
the.x.vrbl <- c("l_1_x" = 1) 
the.y.vrbl <- c("l_1_y" = 1) 
the.x.d.vrbl <- c("d_x" = 0, "l_1_d_x" = 1) 
the.y.d.vrbl <- c("l_1_d_y" = 1) 
adl.coef <- gecm.to.adl(x.vrbl = the.x.vrbl, y.vrbl = the.y.vrbl, 
			x.d.vrbl = the.x.d.vrbl, y.d.vrbl = the.y.d.vrbl)
adl.coef$x.vrbl.adl
adl.coef$y.vrbl.adl

tseffects documentation built on Feb. 5, 2026, 5:09 p.m.