Virtua VECM model
Pedagogical tool to create a symbolic VECM model, i.e. just for representation purpose.
VECM_symbolic(alpha, beta, lags, inc, include = c("none", "const", "trend",
"both"))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. |
An object of class ‘VECM’, without however any data.
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)
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