Build Error Correction Models

Functions for easy building of error correction models (ECM) for time series regression.

This package allows users to build error correction models (ECM). While other R packages allow users to do this, this package allows the user to build ECM models on the data.frame structure, select different variables for the transient and equilibrium terms of the ECM, use backwards selection to choose ECM variables, and average multiple ECM models into one ECM.

This is version 4.2.0


Reference manual

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6.3.0 by Gaurav Bansal, 5 months ago

Browse source code at

Authors: Gaurav Bansal

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL (>= 2) license

Imports stats, utils, car, sandwich, lmtest, urca, earth

See at CRAN