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MatthieuStigler / tsDyn

tsDyn
tsdyn.googlecode.com
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VECM - Showing Statistical Significance of Long Run Parameters #24

Open jamesrobinsonjnr opened 3 years ago

jamesrobinsonjnr commented 3 years ago

Hello Matthieu,

First and foremost, I want to express great appreciation for your contribution to the tsDyn package provided for use in R.

I am currently working on a research paper that is intent on discovering the equilibrium path for residential housing prices within my local real estate market.

I am using the VECM function to determine the long-run component of my model. However, while surveying the help file, I was not able to determine how to feature the statistical significance of the long-run parameters. Is there a way to show the pvalues for both the Long-run and Short-run parameters along with the asterixis that indicate the level of statistical significance?

MatthieuStigler commented 3 years ago

Hi James

This feature has indeed not been implemented a while ago when I was working on this package. Main reason was that I had not found the relevant paper/formula to implement this (if I remember correctly, Hamilton 1994 does not discuss it?).

But if you really need this and are ready to research the corresponding formulas (for the few cases involved, with constant, trend, etc) , I could implement this or assist you in coding it!