# 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

## 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 |