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 < http://www.fas.nus.edu.sg/ecs/events/seminar/seminar-papers/05Apr11.pdf>.


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install.packages("cotrend")

1.0.2 by A. Christian Silva, 2 years ago


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


Authors: A. Christian Silva


Documentation:   PDF Manual  


GPL-3 license


Depends on xts


See at CRAN