CommonTrend: Extract and plot common trends from a cointegration system. Calculate P-value for Johansen Statistics.
Version 0.7-1

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.

AuthorFan Yang
Date of publication2013-09-05 20:02:29
MaintainerFan Yang <yfno1@msn.com>
LicenseGPL (>= 2)
Version0.7-1
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("CommonTrend")

Popular 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)
plotComT: Plot the common trend(s)
q.Johansen: Get Johansen statistics from its P-value
See all...

All man pages Function index File listing

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

Functions

ComT-class Man page
GG.ComT Man page Source code
Kasa.ComT Man page Source code
benchmark Man page
optimlag Man page Source code
optimlag-class 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/optimlag-class.Rd
man/plotComT.Rd
man/Kasa.ComT.Rd
man/ComT-class.Rd
man/q.Johansen.Rd
CommonTrend documentation built on May 20, 2017, 4:30 a.m.

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