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apt (version 3.0)
Asymmetric Price Transmission
Description
Asymmetric price transmission between two time series is assessed. Several functions are available for linear and nonlinear threshold cointegration, and furthermore, symmetric and asymmetric error correction model.
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3.0
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install.packages('apt')
Monthly Downloads
458
Version
3.0
License
GPL
Maintainer
Changyou Sun
Last Published
May 1st, 2020
Functions in apt (3.0)
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daVich
Import prices and values of wooden beds from Vietnam and China
ecmSymFit
Fitting symmetric Error Correction Model
summary.ecm
Summary of Results from Error Correction Model
summary.ciTarFit
Summary of Results from Threshold Cointegration Regression
ciTarThd
Threshold Selection for Threshold Cointegration Regression
ecmAsyFit
Fitting Asymmetric Error Correction Model
ciTarLag
Lag Selection for Threshold Cointegration Regression
print.ecm
Printing Outputs from Error Correction Models
ciTarFit
Fitting Threshold Cointegration
apt-package
Asymmetric Price Transmission
ecmDiag
Diagnostic Statitics for Symmetric or Asymmetric ECMs
ecmAsyTest
Hypothesis Tests on Asymmetric Error Correction Model