Consistent Co-Trending Rank Selection

Implements cointegration/co-trending rank selection algorithm in Guo and Shintani (2013) "Consistent co-trending rank selection when both stochastic and nonlinear deterministic trends are present". The Econometrics Journal 16: 473-483 . Numbered examples correspond to Feb 2011 preprint <>.


Reference manual

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1.0.2 by A. Christian Silva, 2 years ago

Browse source code at

Authors: A. Christian Silva

Documentation:   PDF Manual  

GPL-3 license

Depends on xts

See at CRAN