sim.egcm | R Documentation |
Given an Engle-Granger cointegration model and the number of steps to simulate, generates a simulated realization of that model for the specified number of steps.
sim.egcm(E, nsteps, X0, Y0)
E |
the Engle-Granger model to be simulated. See |
nsteps |
the number of steps to simulate |
X0 |
the starting value of |
Y0 |
the starting value of |
Returns a two-column data.frame, where the first column contains the simulated values of X
, and the second column contains the simulated
values of Y
.
Matthew Clegg matthewcleggphd@gmail.com
egcm
rcoint
# Generate a random pair of cointegrated vectors cv1 <- rcoint(1000) # Construct a cointegration model from them e1 <- egcm(cv1) # Simulate the model for an additional 1000 steps cv2 <- sim.egcm(e1, 1000) # Construct a cointegration model from the simulated data e2 <- egcm(cv2) # Compare the original model to the model obtained from simulation e1 e2
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