apt (version 1.0)

ecmDiag: Diagnostic Statitics for Symmetric or Asymmetric ECMs

Description

Report a set of diagnostic statistics for symmetric or asymmetric error correction models

Usage

ecmDiag(m, digits = 2, ...)

Arguments

m

an object of class ecm from the function of ecmAsyFit or ecmSymFit.

digits

number of digits used in rounding outputs.

...

additional arguments to be passed.

Value

• Return a data frame object with the following components by equation: R-squared, Adjusted R-squared, F-statistic, Durbin Watson statistic, p-value for DW statistic, AIC, BIC, and p-value of Ljung_Box Q statistics with 4, 8, 12 autocorrelation coefficients.

Details

Compute several diagnostic statistics for each ECM equation. This is mainly used to assess the serial correlation in the residuals and model adequacy.

References

Enders, W. 2004. Applied Econometric Time Series. John Wiley & Sons, Inc., New York. 480 P.

See Also

ecmAsyFit; ecmSymFit; and ecmDiag.

Examples

data(daVi); data(daCh)
t.mtar <- -0.451
aem <- ecmAsyFit(y=daVi, x=daCh, lag=4, model="mtar", 
    split=TRUE, thresh=t.mtar)
ecmDiag(aem, 3)

sem <- ecmSymFit(y=daVi, x=daCh, lag=4)
ecmDiag(sem)