TVECM {tsDyn}R Documentation

Treshold Vector Error Correction model (VECM)

Description

Estimate a Treshold Vector Error Correction model (VECM)

Usage

TVECM(data,lag=1,nthresh=1, trim=0.05, ngridBeta=50, ngridTh=50, plot=TRUE,  th1=list(exact=NULL, int=c("from","to"), around="val"), th2=list(exact=NULL, int=c("from","to"), around="val"), beta=list(exact=NULL, int=c("from","to"), around=c("val","by")), restr=c("none", "equal", "signOp"), common=c("All", "only_ECT"), include = c( "const", "trend","none", "both"),dummyToBothRegimes=TRUE,beta0=0,methodMapply=FALSE, trace=TRUE )

Arguments

data time series
lag Number of lags to include in each regime
nthresh number of threshold (see details)
trim trimming parameter indicating the minimal percentage of observations in each regime
ngridBeta number of elements to search for the cointegrating value
ngridTh number of elements to search for the threshold value
plot Whether a grid with the SSR of each threshold should be printed
th1 different possibilities to pre-specify an exact value, an interval or a central point for the search of gamma1
th2 different possibilities to pre-specify an exact value or a central point for the search of gamma2
beta different possibilities to pre-specify an exact value, an interval or a central point for the search of the cointegrating value
restr Currently not avalaible
common Whether the regime-specific dynamics are only for the ECT or for the ECT and the lags
include Type of deterministic regressors to include
dummyToBothRegimes Whether the dummy in the one threshold model is applied to each regime or not.
beta0 Additional regressors to include in the cointegrating relation
methodMapply only for programming. Is to make the choice between a for loop or mapply implementation
trace should additional infos be printed? (logical)

Details

For fixed threshold and cointegrating vector, the model is linear, so estimation can be done directly by CLS (Conditional Least Squares). The search of the parameters values which minimize the residual sum of squares (SSR) is made upon a grid of potential values. The search on the threshold values is made upon existing ones, whereas the search for the cointegrating value is made by default based on a confidence interval around the estimate form linear model.

nthresh=1: estimation of one threshold model (two regimes) upon a grid of ngridTh values (default to ALL) possible thresholds and delays values.

nthresh=2: estimation of two thresholds model (three regimes) Conditional on the threshold found in model where nthresh=1, the second threshold is searched. When both are found, a second grid search is made with 30 values around each threshold.

The model can be either with a threshold effect on all variables ("All") or only on the error correction term (ECT) (argument "only ECT"). In the second case, the value for the middle threshold is taken a null, as in Balke and Fomby (1997).

Value

Fitted model data

Author(s)

Matthieu Stigler

References

TODO

See Also

TODO

Examples


data(zeroyld)
data<-zeroyld

TVECM(data, nthresh=2,lag=1, ngridBeta=20, ngridTh=30, plot=TRUE,trim=0.05, common      ="All")

[Package tsDyn version 0.7-1 Index]