Calculate the delta coefficient

Source: R/methods.R

Computes the long-run correlation coefficient between the residuals of the predictive regression and the autoregressive model for the regressor.

delta(object)

Arguments

object

on object of class "ivx"

Value

A vector of the estimated correlation coefficients. This should have row and column names corresponding to the parameter names given by the coef method.

Examples

mod <- ivx(Ret ~ LTY, data = monthly)

delta(mod)
#> [1] -0.1081335