Asymmetric Price Transmission
Asymmetric Price Transmission
Fitting Threshold Cointegration
Lag Selection for Threshold Cointegration Regression
Threshold Selection for Threshold Cointegration Regression
Fitting Asymmetric Error Correction Model
Hypothesis Tests on Asymmetric Error Correction Model
Diagnostic Statitics for Symmetric or Asymmetric ECMs
Fitting symmetric Error Correction Model
Printing Outputs from Error Correction Models
Summary of Results from Threshold Cointegration Regression
Summary of Results from Error Correction Model
The transmission between two time-series prices is assessed. It contains several functions for linear and nonlinear threshold co-integration, and furthermore, symmetric and asymmetric error correction models.