lm for fitting exchange rate regression
models (Frankel-Wei models).
arguments passed to
fxlm is a function for fitting exchange rate regression models also
known as Frankel-Wei models. It is a simple convenience interface to
data is assumed to be a
"zoo" series in which, by default, the
first column is the dependent variable. If
formula is omitted, the first
column is regressed on the remaining columns in
data. The main difference
compared to plain
lm models is that the error variance is reported as
a full parameter (estimated by maximum likelihood) in the
estfun method (but currently not in the
Furthermore, the index (also known as the time stamps) of the underlying data set
can be extracted by the
An object of class
"fxlm" inheriting from
Shah A., Zeileis A., Patnaik I. (2005), What is the New Chinese Currency Regime?, Report 23, Department of Statistics and Mathematics, Wirtschaftsuniversitaet Wien, Research Report Series, November 2005. http://epub.wu.ac.at.
Zeileis A., Shah A., Patnaik I. (2010), Testing, Monitoring, and Dating Structural Changes in Exchange Rate Regimes, Computational Statistics and Data Analysis, 54(6), 1696–1706. http://dx.doi.org/10.1016/j.csda.2009.12.005.
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## load package and data library("fxregime") data("FXRatesCHF", package = "fxregime") ## compute returns for CNY (and explanatory currencies) ## for one year after abolishing fixed USD regime cny <- fxreturns("CNY", frequency = "daily", start = as.Date("2005-07-25"), end = as.Date("2006-07-24"), other = c("USD", "JPY", "EUR", "GBP")) ## estimate full-sample exchange rate regression fm <- fxlm(CNY ~ USD + JPY + EUR + GBP, data = cny) coef(fm) summary(fm) ## test parameter stability (with double max test) scus <- gefp(fm, fit = NULL) plot(scus, aggregate = FALSE) ## which shows a clear increase in the variance in March 2006 ## alternative tests: Andrews' supLM ... plot(scus, functional = supLM(0.1)) ## ... or Nyblom-Hansen test (Cramer-von Mises type test) plot(scus, functional = meanL2BB)
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