Comparing average residual correlations of GVECM and VECM.
Average pairwise cross-section residual correlations of GVECM and VECM.
averageCORgvecm(out)
out |
Estimation results object generated by GVECMest |
This function compares the dependency of residuals in VAR and GVAR.
vecmRSDcor |
A list object of average residual correlations of country-specific VECM |
gvecmRSDcor |
A list object of average residual correlations of country-specific VECM augmented by foreign variables(GVECM) |
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
Mauro Filippo di and Pesaran H. M. (2013) The GVAR Handbook– Structure and Applications of a Macro Model of the Global Economy for Policy. Oxford University Press.
data("PriceVol")
data("tradeweight1")
data("tradeweightx")
p=2
FLag=2
lag.max=15
type="const"
ic="SC"
weight.matrix=tradeweightx
mainOUTPUT = GVECMest(data=PriceVol,p,FLag,lag.max,type,ic,weight.matrix)
cor2_avg=averageCORgvecm(out=mainOUTPUT)
as.matrix((cor2_avg$vecmRSDcor)[[1]])
as.matrix((cor2_avg$vecmRSDcor)[[2]])
as.matrix(cor2_avg$gvecmRSDcor[[1]])
as.matrix(cor2_avg$gvecmRSDcor[[2]])Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.