delta {ivx} | R Documentation |
Computes the long-run correlation coefficient between the residuals of the predictive regression and the autoregressive model for the regressor.
delta(object)
object |
on object of class "ivx" |
A vector of the estimated correlation coefficients. This should have row and column names corresponding to the parameter names given by the coef method.
mod <- ivx(Ret ~ LTY, data = monthly)
delta(mod)