sim.egcm: Generate simulated data from an Engle-Granger cointegration...

In matthewclegg/egcm: Engle-Granger Cointegration Models

Generate simulated data from an Engle-Granger cointegration model

Description

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.

Usage

sim.egcm(E, nsteps, X0, Y0)

Arguments

E	the Engle-Granger model to be simulated. See egcm
nsteps	the number of steps to simulate
X0	the starting value of X to be used in the simulation. If not specified, uses the last value of X in E.
Y0	the starting value of Y to be used in the simulation. If not specified, uses the last value of Y in E.

Value

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.

Author(s)

Matthew Clegg [e-mail]

See Also

egcm rcoint

Examples

# 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

matthewclegg/egcm documentation built on March 5, 2023, 6:33 a.m.