Asymmetric Price Transmission with R Package apt

The structure of the package apt and the implementation of models for asymmetric price transmission (APT) are explained in this note. This type of economic analysis is typically time series analysis with the steps of unit root test, cointegration test, and finally error correction model. APT studies have evolved with several distinct stages: pre-cointegration, linear cointegration, nonlinear threshold cointegration, and more recently, regime switching model. APT is usually about two price series so the programming focus of this package is on two series.