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 |
| Reference manual: | CommonTrend.pdf |
| Package source: | CommonTrend_0.7-1.tar.gz |
| Windows binaries: | r-devel: CommonTrend_0.7-1.zip, r-release: CommonTrend_0.7-1.zip, r-oldrel: CommonTrend_0.7-1.zip |
| OS X binaries: | r-release: CommonTrend_0.7-1.tgz, r-oldrel: CommonTrend_0.7-1.tgz |
| Old sources: | CommonTrend archive |
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