nts.alpha.procrusted: Function to estimate alpha

In jonlachmann/sparsecoint: Forecasting using sparse cointegration

Function to estimate alpha

Description

Function to estimate alpha

Usage

nts.alpha.procrusted(
  Y,
  X,
  Z,
  zbeta,
  rank,
  Omega,
  P,
  beta,
  intercept = F,
  exo = NULL
)

Arguments

Y	Response Time Series
X	Time Series in Differences
Z	Time Series in Levels
zbeta	estimate of short-run effects
rank	cointegration rank
Omega	estimate of inverse error covariance matrix
P	transformation matrix P derived from Omega
beta	estimate of cointegrating vector
intercept	F do not include intercept, T include intercept in estimation short-run effects

Value

A list containing: alpha: estimate of adjustment coefficients alphastar: estimate of transformed adjustment coefficients

jonlachmann/sparsecoint documentation built on April 14, 2022, 10:49 a.m.