ec.EG1 {cif}

estimates the VECM with the 2-stage procedure of Engle & Granger

Description

Estimates the EC with EG. Cointegration rank fixed at 1

Usage

ec.EG1(det1, det2, ymat, npl, befpn, ndet, drop1 = NA, drop2 = NA)

Arguments

det1

deterministic matrix of constant(s) and trend(s)

det2

deterministic matrix of seasonals and point dummies

ymat

matrix of lags

npl

n, p, nlag

befpn

begtrim, endtrim, nforecast, npred

ndet

order of the model d(i,j)

drop1

selection of det1 regressors in first stage to drop

drop2

selection of det1 regressors in second stage to drop

Value

out a list with estimates

Author(s)

P. Berta, P. Paruolo, S. Verzillo, P.G. Lovaglio

References

Berta et al. 2020