Learn R Programming
⚠️There's a newer version (4.0) of this package.Take me there.

apt (version 1.1)

Asymmetric Price Transmission (apt)

Description

This package focuses on asymmetric price transmission (APT) between two time series. This package contains functions for linear and nonlinear threshold cointegration, and furthermore, symmetric and asymmetric error correction model.

Copy Link

Version

Install

install.packages('apt')

Monthly Downloads

479

Version

1.1

License

GPL

Maintainer

Changyou Sun

Last Published

March 31st, 2012

Functions in apt (1.1)

plot.ciTarThd

Plot for Threshold Value Selection
apt-package

Asymmetric Price Transmission
ecmAsyFit

Fitting Asymmetric Error Correction Model
daVi

Import price of wooden beds from Vietnam
summary.ciTarFit

Summary of Results from Threshold Cointegration Regression
daVich

Import price of wooden beds from Vietnam anc China
ecmSymFit

Fitting symmetric Error Correction Model
print.ecm

Printing Outputs from Error Correction Models
daCh

Import price of wooden beds from China
summary.ecm

Summary of Results from Error Correction Model
plot.ciTarLag

Plot of AIC and BIC for Threshold Cointegration by Lag
ciTarFit

Fitting Threshold Cointegration
ecmAsyTest

Hypothesis Tests on Asymmetric Error Correction Model
print.ciTarFit

Printing Outputs from Threshold Cointegration Regression
ciTarThd

Threshold Selection for Threshold Cointegration Regression
ciTarLag

Lag Selection for Threshold Cointegration Regression
ecmDiag

Diagnostic Statitics for Symmetric or Asymmetric ECMs