CommonTrend: Extract and plot common trends from a cointegration system.
Calculate P-value for Johansen Statistics
Directly extract and plot stochastic common trends from
a cointegration system using different approaches, currently
including Kasa (1992) and Gonzalo and Granger (1995).
The approach proposed by Gonzalo and Granger, also known as
Permanent-Transitory Decomposition, is widely used in
macroeconomics and market microstructure literature.
Kasa's approach, on the other hand, has a nice property that it only
uses the super consistent estimator: the cointegration vector
'beta'.
This package also provides functions calculate P-value
from Johansen Statistics according to the approximation method
proposed by Doornik (1998).
Update:
0.7-1: Fix bugs in calculation alpha. Add formulas and more explanations.
0.6-1: Rewrite the description file.
0.5-1: Add functions to calculate P-value from Johansen statistic, and vice versa.
| Version: |
0.7-1 |
| Depends: |
R (≥ 2.10) |
| Imports: |
methods, MASS, urca |
| Published: |
2013-09-05 |
| Author: |
Fan Yang |
| Maintainer: |
Fan Yang <yfno1 at msn.com> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
no |
| In views: |
TimeSeries |
| CRAN checks: |
CommonTrend results |
Downloads: