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Vector Error-Correction Models

Multivariate linear models including cointegrating relations and exogenous predictor variables

Vector-error correction (VEC) models, or cointegrated VAR models, address nonstationarity in multivariate times series resulting from co-movements of multiple response series. For an example of an analysis using VEC modeling tools, see Modeling the United States Economy.

Using Objects

vecmCreate vector error-correction (VEC) model

Functions

vecmCreate vector error-correction (VEC) model
estimateFit vector error-correction (VEC) model to data
inferInfer vector error-correction (VEC) model innovations
summarizeDisplay vector error-correction (VEC) model estimation results
arma2arConvert ARMA model to AR model
arma2maConvert ARMA model to MA model
vec2varConvert VEC model to VAR model
var2vecConvert VAR model to VEC model
varmConvert vector error-correction (VEC) model to vector autoregression (VAR) model
simulateMonte Carlo simulation of vector error-correction (VEC) model
filterFilter disturbances through vector error-correction (VEC) model
forecastForecast vector error-correction (VEC) model responses

Topics

Modeling the United States Economy

This example illustrates the use of a vector error-correction (VEC) model as a linear alternative to the Smets-Wouters Dynamic Stochastic General Equilibrium (DSGE) macroeconomic model, and applies many of the techniques of Smets-Wouters to the description of the United States economy.

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