ecmSymFit {apt} | R Documentation |
Fitting symmetric Error Correction Model
Description
Estimate a symmetric error correction model (ECM) for two time series.
Usage
ecmSymFit(y, x, lag = 1)
Arguments
y |
dependent or left-side variable for the long-run regression. |
x |
independent or right-side variable for the long-run regression. |
lag |
number of lags for variables on the right side. |
Details
The package apt
focuses on price transmission between two series. This function estimates a standard error correction model for two time series. While it can be extended for more than two series, it is beyond the objective of the package now.
Value
Return a list object of class "ecm" and "ecmSymFit" with the following components:
y |
dependend variable |
x |
independent variable |
lag |
number of lags |
data |
all the data combined for the ECM |
IndVar |
data frame of the right-hand variables used in the ECM |
name.x |
name of the independent variable |
name.y |
name of the dependent variable |
ecm.y |
ECM regression for the dependent variable |
ecm.x |
ECM regression for the independent variable |
Author(s)
Changyou Sun (cs258@msstate.edu)
References
Enders, W. 2004. Applied Econometric Time Series. John Wiley & Sons, Inc., New York. 480 P.
See Also
print.ecm
; summary.ecm
; ecmDiag
; and ecmAsyFit
.
Examples
# see example at daVich