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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