tseffects (version 0.2.1)

gecm.dummy.checks: Do consistent dummy checks for functions (GDTE/GDRF) that use a GECM model

Description

Do consistent dummy checks for functions (GDTE/GDRF) that use a GECM model

Usage

gecm.dummy.checks(
  x.vrbl,
  y.vrbl,
  x.d.vrbl,
  y.d.vrbl,
  x.vrbl.d.x,
  y.vrbl.d.y,
  x.d.vrbl.d.x,
  y.d.vrbl.d.y,
  inferences.x,
  inferences.y,
  the.coef,
  se.type,
  type = NULL
)

Arguments

x.vrbl

a named vector of the x variables and corresponding lag orders of lower order of integration (typically levels, 0) in a GECM model

y.vrbl

a named vector of the y variables and corresponding lag orders of lower order of integration (typically levels, 0) in a GECM model

x.d.vrbl

a named vector of the x variables and corresponding lag orders of higher order of integration (typically first differences, 1) in a GECM model

y.d.vrbl

a named vector of the y variables and corresponding lag orders of higher order of integration (typically first differences, 1) in a GECM model

x.vrbl.d.x

the order of differencing of the x variable of lower order of integration (typically levels, 0) in a GECM model

y.vrbl.d.y

the order of differencing of the y variable of lower order of integration (typically levels, 0) in a GECM model

x.d.vrbl.d.x

the order of differencing of the x variable of higher order of integration (typically first differences, 1) in a GECM model

y.d.vrbl.d.y

the order of differencing of the y variable of higher order of integration (typically first differences, 1) in a GECM model

inferences.x

is the independent variable treated in levels or in differences?

inferences.y

are the inferences for the dependent variable expected in levels or in differences?

the.coef

the coefficient vector from the estimated GECM model

se.type

the type of standard error calculated

type

whether the effects are estimated in the context of a GDTE/GDRF

Author

Soren Jordan, Garrett N. Vande Kamp, and Reshi Rajan