ECMvar1: Error-Correction VAR Model 1

ECMvar1R Documentation

Error-Correction VAR Model 1

Description

Perform least-squares estimation of an ECM VAR(p) model with known co-integrating processes

Usage

ECMvar1(x, p, wt, include.const = FALSE, fixed = NULL, output = TRUE)

Arguments

x

A T-by-k data matrix of a k-dimensional co-integrated VAR process

p

VAR order

wt

A T-by-m data matrix of m-dimensional co-integrated process

include.const

A logical switch to include a constant term. Default is no constant.

fixed

A logical matrix to set zero parameter constraints

output

A logical switch to control output

Value

data

The vector time series

wt

The co-integrated series

arorder

VAR order

include.const

Logical switch to include constant

coef

Parameter estimates

aic,bic

Information criteria of the fitted model

residuals

The residual series

Sigma

Residual covariance matrix

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 5). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

See Also

ECMvar

Examples

phi=matrix(c(0.5,-0.25,-1.0,0.5),2,2); theta=matrix(c(0.2,-0.1,-0.4,0.2),2,2)
Sig=diag(2)
mm=VARMAsim(300,arlags=c(1),malags=c(1),phi=phi,theta=theta,sigma=Sig)
zt=mm$series
wt=0.5*zt[,1]+zt[,2]
m1=ECMvar1(zt,3,wt)
names(m1)

d-/MTS documentation built on June 12, 2022, 12:50 a.m.