Skip to content

Commit

Permalink
Update README.md
Browse files Browse the repository at this point in the history
  • Loading branch information
jxin2618 authored Nov 17, 2021
1 parent 1e46121 commit 4e0d07e
Showing 1 changed file with 1 addition and 1 deletion.
2 changes: 1 addition & 1 deletion README.md
Original file line number Diff line number Diff line change
Expand Up @@ -80,5 +80,5 @@ $$ P_{t-1} = h_0 + h_1 F_{t-1|t-2} + h_2 r_{t-1|t-2} + h_3I_{t-2} + h_4 \sigma_{
- Vector Error Correction Model:
$$ DX_t = M_1 DX_{t-1} + S^{'}ECT_{t-2}^{*} + L + E_t\tag{4} $$
$DX_t$ is the change in vector $X$, $M_1$ is the matrix of parameters, $S$ is the vector of speed of adjustment parameters, $L$ is a vector of constant terms and $E_t$ is the vector of residuals. $ECT^*_{t-2}$ are the residuals, $e_t$ from the following regression.
$$ P_{t-2} = j_0 + j_1 F_{t-1|t-2} + j_2 r_{t-1|t-2} + j_3I_{t-2} + j_4 \sigma_{t-2} + j_5\rho(1)_{t-2} + e_{t-1} $$
$$ P_{t-2} = j_0 + j_1 F_{t-1|t-2} + j_2 r_{t-1|t-2} + j_3I_{t-2} + j_4 \sigma_{t-2} + j_5\rho(1)_{t-2} + e_{t-1}$$
with $i_i$ and $j_i$ as estimated parameters.

0 comments on commit 4e0d07e

Please sign in to comment.