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.
|Date of publication||2013-09-05 20:02:29|
|Maintainer||Fan Yang <firstname.lastname@example.org>|
|License||GPL (>= 2)|
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