inst/book-ex/Rcode-4-2.R

In vars: VAR Modelling

set.seed(123456)
e1 <- rnorm(100)
e2 <- rnorm(100)
y1 <- cumsum(e1)
y2 <- 0.6*y1 + e2
lr.reg <- lm(y2 ~ y1)
error <- residuals(lr.reg)
error.lagged <- error[-c(1, 100)]
dy1 <- diff(y1)
dy2 <- diff(y2)
diff.dat <- data.frame(embed(cbind(dy1, dy2), 2))
colnames(diff.dat) <- c('dy1', 'dy2', 'dy1.1', 'dy2.1')
ecm.reg <- lm(dy2 ~ error.lagged + dy1.1 + dy2.1,
              data=diff.dat)