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apt (version 2.0)

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.

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Version

Install

install.packages('apt')

Monthly Downloads

479

Version

2.0

License

GPL

Maintainer

Changyou Sun

Last Published

January 10th, 2014

Functions in apt (2.0)

daVich

Import prices and values of wooden beds from Vietnam anc China

summary.ecm

Summary of Results from Error Correction Model

print.ecm

Printing Outputs from Error Correction Models

ecmSymFit

Fitting symmetric Error Correction Model

ecmDiag

Diagnostic Statitics for Symmetric or Asymmetric ECMs

ecmAsyFit

Fitting Asymmetric Error Correction Model

ciTarLag

Lag Selection for Threshold Cointegration Regression

summary.ciTarFit

Summary of Results from Threshold Cointegration Regression

ciTarThd

Threshold Selection for Threshold Cointegration Regression

apt-package

Asymmetric Price Transmission

ciTarFit

Fitting Threshold Cointegration

ecmAsyTest

Hypothesis Tests on Asymmetric Error Correction Model