ECMvar1 function

Error-Correction VAR Model 1

Perform least-squares estimation of an ECM VAR(p) model with known co-integrating processes

ECMvar1(x, p, wt, include.const = FALSE, fixed = NULL, output = TRUE)

Arguments

• x: A T-by-k data matrix of a k-dimensional co-integrated VAR process
• p: VAR order
• wt: A T-by-m data matrix of m-dimensional co-integrated process
• include.const: A logical switch to include a constant term. Default is no constant.
• fixed: A logical matrix to set zero parameter constraints
• output: A logical switch to control output

Returns

• data: The vector time series

• wt: The co-integrated series

• arorder: VAR order

• include.const: Logical switch to include constant

• coef: Parameter estimates

• aic,bic: Information criteria of the fitted model

• residuals: The residual series

• Sigma: Residual covariance matrix

References

Tsay (2014, Chapter 5). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.

Author(s)

Ruey S. Tsay

See Also

ECMvar

Examples

phi=matrix(c(0.5,-0.25,-1.0,0.5),2,2); theta=matrix(c(0.2,-0.1,-0.4,0.2),2,2)
Sig=diag(2)
mm=VARMAsim(300,arlags=c(1),malags=c(1),phi=phi,theta=theta,sigma=Sig)
zt=mm$series
wt=0.5*zt[,1]+zt[,2]
m1=ECMvar1(zt,3,wt)
names(m1)