ecmDiag function

Diagnostic Statitics for Symmetric or Asymmetric ECMs

Report a set of diagnostic statistics for symmetric or asymmetric error correction models

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.

Details

Compute several diagnostic statistics for each ECM equation. This is mainly used to assess the serial correlation in the residuals and model adequacy.

Returns

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.

References

Enders, W. 2004. Applied Econometric Time Series. John Wiley & Sons, Inc., New York. 480 P.

Author(s)

Changyou Sun (edwinsun258@gmail.com )

See Also

ecmAsyFit; ecmSymFit; and ecmDiag.

Examples

# see example at daVich