
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)
A T-by-k data matrix of a k-dimensional co-integrated VAR process
VAR order
A T-by-m data matrix of m-dimensional co-integrated process
A logical switch to include a constant term. Default is no constant.
A logical matrix to set zero parameter constraints
A logical switch to control output
The vector time series
The co-integrated series
VAR order
Logical switch to include constant
Parameter estimates
Information criteria of the fitted model
The residual series
Residual covariance matrix
Tsay (2014, Chapter 5). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
ECMvar
# NOT RUN {
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)
# }
Run the code above in your browser using DataLab