apt (version 1.1)

ecmSymFit: Fitting symmetric Error Correction Model

Description

Estimate a symmetric error correction model (ECM) for two time series.

Usage

ecmSymFit(y, x, lag = 1, ...)

Arguments

y

dependent or left-side variable for the long-run regression.

x

independent or right-side variable for the long-run regression.

lag

number of lags for variables on the right side.

...

additional arguments to be passed.

Value

• Return a list object of class "ecm" and "ecmSymFit" with the following components:
• y
  dependend variable
• x
  independent variable
• lag
  number of lags
• data
  all the data combined for the ECM
• IndVar
  data frame of the right-hand variables used in the ECM
• name.x
  name of the independent variable
• name.y
  name of the dependent variable
• ecm.y
  ECM regression for the dependent variable
• ecm.x
  ECM regression for the independent variable

Details

The package apt focuses on price transmission between two series. This function estimates a standard error correction model for two time series. While it can be extended for more than two series, it is beyond the objective of the package now.

References

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

See Also

print.ecm; summary.ecm; ecmDiag; and ecmAsyFit.

Examples

data(daVi); data(daCh)
sem <- ecmSymFit(y=daVi, x=daCh, lag=4)
sem; names(sem)
summary(sem)
ecmDiag(sem)