ComT-class: Representation of class 'ComT'

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

Description

This class contains several useful objects about the estimated common trends for further manipulations.

Arguments

method	Character. Method used to extract the common trends.
length	Length of the common trends. It is the length of original series minus lag order.
lag.chosen	Lag order.
beta	The estimated cointegration vector.
othog.beta	The othogonal complement of \bold{β}.
alpha	The estimated \bold{α}.
othog.alpha	The othogonal complement of \bold{α}.
common.trend	The common trends after multiplied with the loading matrix.
pure.trend	The ‘pure’ common trends without multiplying with the loading matrix.
loading.vector	The loading matrix.
stationary	The estimated stationary process.
data.used	The orginal data after adjusted with the lag order. Thus it has the same length with the estimated common trends.

Author(s)

Fan Yang

CommonTrend documentation built on May 2, 2019, 3:28 p.m.