CommonTrend: 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.

Author
Fan Yang
Date of publication
2013-09-05 20:02:29
Maintainer
Fan Yang <yfno1@msn.com>
License
GPL (>= 2)
Version
0.7-1

View on CRAN

Man pages

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

Files in this package

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