tsDyn (version 0.9-1)

VECM_symbolic: Virtua VECM model

Description

Pedagogical tool to create a symbolic VECM model, i.e. just for representation purpose.

Usage

VECM_symbolic(alpha, beta, lags, inc, include = c("none", "const", "trend", "both"))

Arguments

alpha

Matrix of alpha speed adjustment coefficients.

beta

Matrix of alpha, cointegrating coefficients.

lags

Matrix containg the lags coefficients.

inc

Matrix containg the include (see following arg) coefficients.

include

Character indicating the type of deterministic term included, if any.

Value

• An object of class VECM, without however any data.

Examples

a<-matrix(c(-0.4, 0.1), ncol=1)
  b<-matrix(c(1, -2), ncol=2)

  # VECM_symb(alpha=a, beta=t(b))
  d<- VECM_symbolic(alpha=a, beta=t(b))
  VARrep(d)
  d<- VECM_symbolic(alpha=a, beta=t(b), lags=matrix(0, ncol=2, nrow=2))
  VARrep(d)
  d3<- VECM_symbolic(alpha=a, beta=t(b), lags=matrix(c(0.1, 0.3, 0.1, 0.2), ncol=2, nrow=2), inc=matrix(c(0.5, 0.1), ncol=1), include="const")
  VARrep(d3)