Asymmetric Price Transmission

Asymmetric price transmission between two time series is assessed. Several functions are available for linear and nonlinear threshold cointegration, and furthermore, symmetric and asymmetric error correction model.


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install.packages("apt")

3.0 by Changyou Sun, 7 months ago


Browse source code at https://github.com/cran/apt


Authors: Changyou Sun <[email protected]>


Documentation:   PDF Manual  


Task views: Econometrics


GPL license


Imports car, urca

Depends on erer


See at CRAN