ec.main {cif} | R Documentation |
This function estimate VECM model. Selects begtrim and entrim period, define lag and run.
ec.main( y, ndet = c(2, 1), nlag, befpn, breaks = NA, booseas = NA, pntdates = NA, drop1 = NA, drop2 = NA, cal, kval = 1.959964 )
y |
matrix with time across rows and variables in columns |
ndet |
vector of lenght 3, (i,j,q): i for EG1-st stage, j for EG-2nd stage, q number of breaks i,j=0 no deterministics i,j=1 constant i,j=2 constant and trend |
nlag |
number of lags in the VAR |
befpn |
begtrim, endtrim, nforecast, npred |
breaks |
vector with observation numbers for T1,T2,... |
booseas |
boolean =T if seasonal dummies, =F otherwise |
pntdates |
vector with observation numbers for point dummies |
drop1 |
selection of det1 regressors in first stage to drop |
drop2 |
selection of det1 regressors in second stage to drop |
cal |
calendar for the y matrix |
kval |
how many se to use, default kval=1.959964 |
results Output contains the a set of estimates and forecasting results.
P. Berta, P. Paruolo, S. Verzillo, PG. Lovaglio
Berta et al. 2020