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.
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.