fxlm {fxregime} | R Documentation |
Exchange Rate Regression
Description
Interface to lm
for fitting exchange rate regression
models (Frankel-Wei models).
Usage
fxlm(formula, data, ...)
Arguments
formula |
a |
data |
a |
... |
arguments passed to |
Details
fxlm
is a function for fitting exchange rate regression models also
known as Frankel-Wei models. It is a simple convenience interface to lm
:
data
is assumed to be a "zoo"
series in which, by default, the
first column is the dependent variable. If formula
is omitted, the first
column is regressed on the remaining columns in data
. The main difference
compared to plain lm
models is that the error variance is reported as
a full parameter (estimated by maximum likelihood) in the coef
method
and the estfun
method (but currently not in the vcov
method).
Furthermore, the index (also known as the time stamps) of the underlying data set
can be extracted by the time
/index
method.
Value
An object of class "fxlm"
inheriting from "lm"
.
References
Shah A., Zeileis A., Patnaik I. (2005), What is the New Chinese Currency Regime?, Report 23, Department of Statistics and Mathematics, Wirtschaftsuniversitaet Wien, Research Report Series, November 2005. http://epub.wu.ac.at.
Zeileis A., Shah A., Patnaik I. (2010), Testing, Monitoring, and Dating Structural Changes in Exchange Rate Regimes, Computational Statistics and Data Analysis, 54(6), 1696–1706. http://dx.doi.org/10.1016/j.csda.2009.12.005.
See Also
Examples
## load package and data
library("fxregime")
data("FXRatesCHF", package = "fxregime")
## compute returns for CNY (and explanatory currencies)
## for one year after abolishing fixed USD regime
cny <- fxreturns("CNY", frequency = "daily",
start = as.Date("2005-07-25"), end = as.Date("2006-07-24"),
other = c("USD", "JPY", "EUR", "GBP"))
## estimate full-sample exchange rate regression
fm <- fxlm(CNY ~ USD + JPY + EUR + GBP, data = cny)
coef(fm)
summary(fm)
## test parameter stability (with double max test)
scus <- gefp(fm, fit = NULL)
plot(scus, aggregate = FALSE)
## which shows a clear increase in the variance in March 2006
## alternative tests: Andrews' supLM ...
plot(scus, functional = supLM(0.1))
## ... or Nyblom-Hansen test (Cramer-von Mises type test)
plot(scus, functional = meanL2BB)