tsDyn (version 11.0.4)

VECM_symbolic: Virtual 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")
)

Value

An object of class ‘VECM’, without however any data.

Arguments

alpha

Matrix of alpha speed adjustment coefficients.

beta

Matrix of alpha, cointegrating coefficients.

lags

Matrix containing the lags coefficients.

inc

Matrix containing the include (see following arg.) coefficients.

include

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

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