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ecm

This package allows users to build error correction models (ECM). While other R packages allow users to do this, this package allows the user to build ECM models on the data.frame structure, select different variables for the transient and equilibrium terms of the ECM, use backwards selection to choose ECM variables, and average multiple ECM models into one ECM.

This is version 7.1.0

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Install

install.packages('ecm')

Monthly Downloads

1,007

Version

7.2.0

License

GPL (>= 2)

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Last Published

January 22nd, 2024

Functions in ecm (7.2.0)

Wilshire

FRED data on the Wilshire 5000 index and other economic factors
durbinH

Calculate Durbin's h-statistic
ecmpredict

Predict using an ecm object
ecm

Build an error correction model
ecmave

Build an averaged error correction model
lmave

Build multiple lm models and average them
cumcount

Get cumulative count
lagpad

Lag a vector
ecmback

Backwards selection to build an error correction model
ecmaveback

Backwards selection using an averaged error correction model