ecmSymFit function

Fitting symmetric Error Correction Model

Estimate a symmetric error correction model (ECM) for two time series.

ecmSymFit(y, x, lag = 1)

Arguments

• y: dependent or left-side variable for the long-run regression.
• x: independent or right-side variable for the long-run regression.
• lag: number of lags for variables on the right side.

Details

The package apt focuses on price transmission between two series. This function estimates a standard error correction model for two time series. While it can be extended for more than two series, it is beyond the objective of the package now.

Returns

Return a list object of class "ecm" and "ecmSymFit" with the following components: - y: dependend variable

• x: independent variable

• lag: number of lags

• data: all the data combined for the ECM

• IndVar: data frame of the right-hand variables used in the ECM

• name.x: name of the independent variable

• name.y: name of the dependent variable

• ecm.y: ECM regression for the dependent variable

• ecm.x: ECM regression for the independent variable

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

print.ecm; summary.ecm; ecmDiag; and ecmAsyFit.

Examples

# see example at daVich