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.


News

Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.

install.packages("CommonTrend")

0.7-1 by Fan Yang, 5 years ago


Browse source code at https://github.com/cran/CommonTrend


Authors: Fan Yang


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL (>= 2) license


Imports methods, MASS, urca


See at CRAN