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 PermanentTransitory 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 Pvalue from Johansen Statistics according to the approximation method proposed by Doornik (1998). Update: 0.71: Fix bugs in calculation alpha. Add formulas and more explanations. 0.61: Rewrite the description file. 0.51: Add functions to calculate Pvalue from Johansen statistic, and vice versa.
Package details 


Author  Fan Yang 
Date of publication  20130905 20:02:29 
Maintainer  Fan Yang <[email protected]> 
License  GPL (>= 2) 
Version  0.71 
Package repository  View on CRAN 
Installation 
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