ISmErrorCorrectionModel.CointegralCount

Syntax

CointegralCount: Integer;

Description

The CointegralCount property determines the number of cointegration links.

Comments

The property value cannot be less than 1 and smaller than the number of endogenous variables.

Example

To execute the example, add a link to the Stat system assembly.

Sub UserProc;
Var
    ECM: ISmErrorCorrectionModel;
    Series, SE, TStat: ISlSeries;
    Eqs: ISlEquations;
    Eq: ISlEquation;
    can, fra, ger, us, uk: Array[15] Of Double;
    ARO: Array[1] Of Integer;
    CI: Array Of Double;
    i, res: Integer;
    d: Double;
    Sub Print(Data: Array Of Double);
    Var
        i: Integer;
    Begin

        Debug.WriteLine("---Begin---");
        For i := 0 To Data.Length - 1 Do
            If Double.IsNan(Data[i]) Then
                Debug.WriteLine("---empty---");
            Else
                Debug.WriteLine(i.ToString + ", " + Data[i].ToString);
            End If;
        End For;
        Debug.WriteLine("---End---");
    End Sub Print;
Begin
     // values can, fra, ger, uk, us

    can[00] := 6209; fra[00] := 4110; ger[00] := 3415; uk[00] := 5320; us[00] := 8680;
    can[01] := 6385; fra[01] := 4280; ger[01] := 3673; uk[01] := 5484; us[01] := 9132;
    can[02] := 6752; fra[02] := 4459; ger[02] := 4013; uk[02] :=5517; us[02] :=9213;
    can[03] := 6837; fra[03] := 4545; ger[03] := 4278; uk[03] :=5791; us[03] :=9450;
    can[04] := double.Nan; fra[04] := 4664; ger[04] := 4577; uk[04] := 5971; us[04] := 9177;
    can[05] := 6907; fra[05] := 4861; ger[05] := 5135; uk[05] :=6158; us[05] :=9756;
    can[06] := 7349; fra[06] := 5195; ger[06] := 5388; uk[06] :=6238; us[06] :=9756;
    can[07] := 7213; fra[07] := 5389; ger[07] := 5610; uk[07] :=6322; us[07] :=9724;
    can[08] := 7061; fra[08] := 5463; ger[08] := 5787; uk[08] := 6340; us[08] := 9476;
    can[09] := 7180; fra[09] := 5610; ger[09] := 6181; uk[09] :=6569; us[09] :=9913;
    can[10] := 7132; fra[10] := 5948; ger[10] := 6633; uk[10] := 6813; us[10] := 9974;
    can[11] := 7137; fra[11] := 6218; ger[11] := 6910; uk[11] :=6974; us[11] :=10046;
    can[12] := 7473; fra[12] := 6521; ger[12] := 7146; uk[12] :=6994; us[12] :=10467;
    can[13] := 7722; fra[13] := 6788; ger[13] := 7248; uk[13] := 7220; us[13] := 10740;
    can[14] := 8088; fra[14] := 7222; ger[14] := 7689; uk[14] :=7570; us[14] :=11157;
    ARO[0] := 1;
    ECM := New SmErrorCorrectionModel.Create;

     // Sample period parameters
    Ecm.ModelPeriod.FirstPoint := 1;
    Ecm.ModelPeriod.LastPoint := 15;
     // Equations
    Eqs := ECM.Equations;
     // First equation
    Eq := Eqs.Add;
    Eq.Serie.Value := can;
    Series := Eq.ExogenousVariables;
    Series.Add.Value := us;
    Series.Add.Value := uk;
    Eq.AutoRegressionOrder := ARO;
    Eq.Forecast.LastPoint := 15;
    Eq.Trend.Mode := InterceptMode.AutoEstimate;
     // Second equation
    Eq := Eqs.Add;
    Eq.Serie.Value := fra;
    Series := Eq.ExogenousVariables;
    Series.Add.Value := us;
    Eq.AutoRegressionOrder := ARO;
    Eq.Forecast.LastPoint := 15;
    Eq.Trend.Mode := InterceptMode.AutoEstimate;
     // Third equation
    Eq := Eqs.Add;

    Eq.Serie.Value := Ger;
    Series := Eq.ExogenousVariables;
    Series.Add.Value := uk;
    Eq.AutoRegressionOrder := ARO;
    Eq.Forecast.LastPoint := 15;
    Eq.Trend.Mode := InterceptMode.AutoEstimate;
     // Number of cointegration links
    ECM.CointegralCount := 2;
     // Model type
    ECM.ModelType := ECMType.QTrendTrend;
     // Missing data treatment method parameters
    ECM.MissingData.Method := MissingDataMethod.LinTrend;
     // Method calculation and output results
    res := Ecm.Execute;
    If res <> 0 Then
        Debug.WriteLine(Ecm.Errors);
    Else
        Debug.WriteLine(" == Cointegration equations == ");
        Series := Ecm.CointegralEquations;
        For i := 0 To Series.Count - 1 Do
            CI := Series.Item(i).Value;
            Print(CI);
        End For;
        Debug.WriteLine(" == Standard errors of cointegration equations == ");
        SE := Ecm.CointegralEquationsSE;
        For i := 0 To SE.Count - 1 Do
            CI := SE.Item(i).Value;
            Print(CI);

        End For;
        Debug.WriteLine(" == t-statistics of equation cointegration equations == ");
        TStat := Ecm.CointegralEquationsTstat;
        For i := 0 To SE.Count - 1 Do
            CI := SE.Item(i).Value;
            Print(CI);
        End For;
        Debug.WriteLine(" == Coefficients on cointegration links == ");
        For i := 0 To Eqs.Count - 1 Do
            Eq := Eqs.Item(i);
            CI := Eq.CointegralCoefficients.Estimate;
            Print(CI);
        End For;
        Debug.WriteLine(" == Constant values == ");
        For i := 0 To Eqs.Count - 1 Do
            Eq := Eqs.Item(i);
            Debug.WriteLine(Eq.Trend.Estimate);
        End For;
        Debug.WriteLine("=== Akaike criterion === ");
        d := Ecm.VARStatistics.AIC;
        Debug.WriteLine(d);
        Debug.WriteLine("=== Schwarz criterion ===");
        d := Ecm.VARStatistics.SC;
        Debug.WriteLine(d);
    End If;
End Sub UserProc;

Results of executing the procedure: parameters are set for the error correction model with a trend and a constant in autoregression and in cointegrated equation, and with quadratic trend in data. The model is estimated, the results are displayed to the console window.