Grocer Function

NAME

becm - performs bayesian error correction model estimation

CALLING SEQUENCE

rbecm=becm(nlag,tight,weight,decay,arg1,...,argn)

PARAMETERS

Input

Output

DESCRIPTION

Performs error bayesian correction model estimation. The user can specify the names of the tlist resulting from johansen estimation, the number of cointegration relations to take into account or the significance level to use to select the number of cointegration relations, but if these parameters are not provided, the function takes default values and, if necessary, performs johansen estimation. The lags of the var models are estimated with bayesian prior given by the parameters tight, weight and decay.

EXAMPLE

results = becm(2,0.1,1,0.5,'illinos','indiana','kentucky','michigan'... ,'ohio','pennsyvlania','tennesse','westvirginia');

Example taken from function becm_d(); endogenous variables are 'illinos','indiana','kentucky','michigan', 'ohio','pennsyvlania','tennesse','westvirginia'; # of lags set to 2; tight, weight and decay are set to 0.1,1 and 0.5.

AUTHOR

Eric Dubois 2002