cif (version 0.1.1)

ec.main: Forecast with Vector Error Correction Model

Description

This function estimate VECM model. Selects begtrim and entrim period, define lag and run.

Usage

ec.main(
  y,
  ndet = c(2, 1),
  nlag,
  befpn,
  breaks = NA,
  booseas = NA,
  pntdates = NA,
  drop1 = NA,
  drop2 = NA,
  cal,
  kval = 1.959964
)

Arguments

y

matrix with time across rows and variables in columns

ndet

vector of lenght 3, (i,j,q): i for EG1-st stage, j for EG-2nd stage, q number of breaks i,j=0 no deterministics i,j=1 constant i,j=2 constant and trend

nlag

number of lags in the VAR

befpn

begtrim, endtrim, nforecast, npred

breaks

vector with observation numbers for T1,T2,...

booseas

boolean =T if seasonal dummies, =F otherwise

pntdates

vector with observation numbers for point dummies

drop1

selection of det1 regressors in first stage to drop

drop2

selection of det1 regressors in second stage to drop

cal

calendar for the y matrix

kval

how many se to use, default kval=1.959964

Value

results Output contains the a set of estimates and forecasting results.

References

Berta et al. 2020