Grocer Function

NAME

ecm - performs error correction model estimation

CALLING SEQUENCE

recm=ecm(p,arg1,...,argn)

PARAMETERS

Input

Output

DESCRIPTION

Performs error 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.

EXAMPLE

1) result = ecm(2,'illinos','indiana','kentucky','michigan','ohio','pennsyvlania','tennesse','westvirginia')
2) result = ecm(2,'illinos','indiana','kentucky','michigan','ohio','pennsyvlania','tennesse','westvirginia','plevel=0. 05')
3) result = ecm(2,'illinos','indiana','kentucky','michigan','ohio','pennsyvlania','tennesse','westvirginia','nbr=2)

First example is taken from function ecm_d(); endogenous variables are 'illinos','indiana','kentucky','michigan', 'ohio','pennsyvlania','tennesse','westvirginia'; example 1 let the function set the number of cointegration relations to the one chosen by a Johansen estimation at a 5% level; since there are 2 cointegration relations at a 5% level, all 3 examples give the same result.

AUTHOR

Eric Dubois 2002