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 |

**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

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
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