averageCORgvecm {GVARX}

Comparing average residual correlations of GVECM and VECM.

Description

Average pairwise cross-section residual correlations of GVECM and VECM.

Usage

averageCORgvecm(out)

Arguments

out

Estimation results object generated by GVECMest

Details

This function compares the dependency of residuals in VAR and GVAR.

Value

vecmRSDcor

A list object of average residual correlations of country-specific VECM

gvecmRSDcor

A list object of average residual correlations of country-specific VECM augmented by foreign variables(GVECM)

Author(s)

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

References

Mauro Filippo di and Pesaran H. M. (2013) The GVAR Handbook– Structure and Applications of a Macro Model of the Global Economy for Policy. Oxford University Press.

Examples

data("PriceVol")
data("tradeweight1")
data("tradeweightx")
p=2
FLag=2
lag.max=15
type="const"
ic="SC"
weight.matrix=tradeweightx
mainOUTPUT = GVECMest(data=PriceVol,p,lag.max,type,ic,weight.matrix)

cor2_avg=averageCORgvecm(out=mainOUTPUT)
as.matrix((cor2_avg$vecmRSDcor)[[1]])
as.matrix((cor2_avg$vecmRSDcor)[[2]])

as.matrix(cor2_avg$gvecmRSDcor[[1]])
as.matrix(cor2_avg$gvecmRSDcor[[2]])