GVARX (version 1.2)

averageCORgvecm: Comparing average residual correlations of GVECM and VECM.

Description

Average pairwise cross-section residual correlations of GVECM and VECM.

Usage

averageCORgvecm(out)

Arguments

out

Estimation results object generated by GVECMest

Value

vecmRSDcor

A list object of average residual correlations of country-specific VECM

gvecmRSDcor

A list object of average residual correlations of country-specific VECM augmented by foreign variables(GVECM)

Details

This function compares the dependency of residuals in VAR and GVAR.

References

Mauro Filippo di and Pesaran H. M. (2013) The GVAR Handbook-- Structure and Applications of a Macro Model of the Global Economy for Policy. Oxford University Press.

Examples

# NOT RUN {
data("PriceVol")
data("tradeweight1")
data("tradeweightx")
p=2
FLag=2
lag.max=15
type="const"
ic="SC"
weight.matrix=tradeweightx
mainOUTPUT = GVECMest(data=PriceVol,p,FLag,lag.max,type,ic,weight.matrix)

cor2_avg=averageCORgvecm(out=mainOUTPUT)
as.matrix((cor2_avg$vecmRSDcor)[[1]])
as.matrix((cor2_avg$vecmRSDcor)[[2]])

as.matrix(cor2_avg$gvecmRSDcor[[1]])
as.matrix(cor2_avg$gvecmRSDcor[[2]])

# }