Extract and plot common trends from a cointegration system. Calculate P-value for Johansen Statistics.

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 |

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.