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.


Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


3.0 by Changyou Sun, 7 months ago

Browse source code at

Authors: Changyou Sun <[email protected]>

Documentation:   PDF Manual  

Task views: Econometrics

GPL license

Imports car, urca

Depends on erer

See at CRAN