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.
- Fan Yang
- Date of publication
- 2013-09-05 20:02:29
- Fan Yang <email@example.com>
- GPL (>= 2)
- Data set for logged stock indices in three benchmark markets
- Representation of class 'ComT'
- Permanent-Transitory Decomposition
- Common Trend(s) according to Kasa(1992)
- Search the lag order to maximize Johansen Statistics (1988)
- Representation of class 'optimlag'
- P-value of Johansen statistics
- Plot the common trend(s)
- Get Johansen statistics from its P-value
Files in this package