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

apt (version 1.2)

Asymmetric Price Transmission (apt)

Description

This package focuses on asymmetric price transmission (APT) between two time series. It 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

1.2

License

GPL

Maintainer

Changyou Sun

Last Published

September 20th, 2012

Functions in apt (1.2)

apt-package

Asymmetric Price Transmission

ecmDiag

Diagnostic Statitics for Symmetric or Asymmetric ECMs

ecmSymFit

Fitting symmetric Error Correction Model

ciTarFit

Fitting Threshold Cointegration

ciTarLag

Lag Selection for Threshold Cointegration Regression

ecmAsyFit

Fitting Asymmetric Error Correction Model

print.ciTarFit

Printing Outputs from Threshold Cointegration Regression

ciTarThd

Threshold Selection for Threshold Cointegration Regression

summary.ciTarFit

Summary of Results from Threshold Cointegration Regression

plot.ciTarThd

Plot for Threshold Value Selection

plot.ciTarLag

Plot of AIC and BIC for Threshold Cointegration by Lag

ecmAsyTest

Hypothesis Tests on Asymmetric Error Correction Model

print.ecm

Printing Outputs from Error Correction Models

daVich

Import price of wooden beds from Vietnam anc China

summary.ecm

Summary of Results from Error Correction Model