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.
Author  Fan Yang 
Date of publication  20130905 20:02:29 
Maintainer  Fan Yang <yfno1@msn.com> 
License  GPL (>= 2) 
Version  0.71 
Package repository  View on CRAN 
Installation  Install the latest version of this package by entering the following in R:

All man pages Function index File listing
Man pages  

benchmark: Data set for logged stock indices in three benchmark markets  
ComTclass: Representation of class 'ComT'  
GG.ComT: PermanentTransitory Decomposition  
Kasa.ComT: Common Trend(s) according to Kasa(1992)  
optimlag: Search the lag order to maximize Johansen Statistics (1988)  
optimlagclass: Representation of class 'optimlag'  
p.Johansen: Pvalue of Johansen statistics  
plotComT: Plot the common trend(s)  
q.Johansen: Get Johansen statistics from its Pvalue 
Functions  

ComTclass  Man page 
GG.ComT  Man page Source code 
Kasa.ComT  Man page Source code 
benchmark  Man page 
optimlag  Man page Source code 
optimlagclass  Man page 
p.Johansen  Man page Source code 
plotComT  Man page Source code 
q.Johansen  Man page Source code 
Files  

NAMESPACE
 
data
 
data/benchmark.rda
 
R
 
R/print.ComT.R  
R/GG.ComT.R  
R/Kasa.ComT.R  
R/p.Johansen.R  
R/optimlag.R  
R/print.optimlag.R  
R/plotComT.R  
R/q.Johansen.R  
MD5
 
DESCRIPTION
 
man
 
man/GG.ComT.Rd  
man/benchmark.Rd  
man/p.Johansen.Rd  
man/optimlag.Rd  
man/optimlagclass.Rd  
man/plotComT.Rd  
man/Kasa.ComT.Rd  
man/ComTclass.Rd  
man/q.Johansen.Rd 
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