MTAR_ECM {NonlinearTSA} | R Documentation |
MTAR Vector Error Correction Model
Description
This function allows you to estimate MTAR Vector Error Correction Model with threshold=0
Usage
MTAR_ECM(y, x, lags)
Arguments
y |
series name, |
x |
series name |
lags |
lag length |
Value
"Model" Estimated model
"AIC" Akaike information criteria
"BIC" Schwarz information criteria
References
Enders, W., & Siklos, P. L. (2001). Cointegration and threshold adjustment. Journal of Business & Economic Statistics, 19(2), 166-176.
Burak Guris, R Uygulamalı Dogrusal Olmayan Zaman Serileri Analizi, DER Yayinevi, 2020.
Examples
x <- cumsum(rnorm(1000))
y <- cumsum(rnorm(1000))
MTAR_ECM(x, y, lags = 6)
data(MarketPrices)
MTAR_ECM(MarketPrices[,1],MarketPrices[,2],lags = 2)
[Package NonlinearTSA version 0.5.0 Index]