Kasa.ComT: Common Trend(s) according to Kasa(1992)

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

Description

Extract Common Trend(s) from a cointegration system according to Kasa(1992). Loading Matrix and Othogonal Complement of α and β are also reported.

Usage

Kasa.ComT(data, rank, k) 

Arguments

data	Data used to construct the cointegration system
rank	Number of cointegration vectors specified
k	Lag order in VECM

Details

For all the details, functions and its differences with the method proposed by Gonzalo and Granger, see GG.ComT.

Value

An object of class ComT.

Author(s)

Fan Yang

References

Kasa, K., 1992. Common stochastic trends in international stock markets, Journal of Monetary Economics 29, 95-124.

Gonzalo, J., and C. Granger, 1995. Estimation of Common Long-Memory Components in Cointegrated Systems, Journal of Business & Economic Statistics 13, 27-35.

See Also

ComT-class, plotComT

Examples

 
 data(benchmark)
 x=seq(1,6689,by=23) ## monthly data
 global=data.frame(benchmark[x,2:4])
 
 Kasa.ComT (global,2,4)
 
 ## Plot the Common Trend

 K=GG.ComT (global,2,4)

 Date=benchmark[x,1]
 plotComT(K,1,x.axis=Date,approx.ticks=12,
         legend=c("S&P 500 Price index", "Common Trend"),
         main="Extract Common Trend(s) from Benchmark Markets",
         ylab="Price", xlab="Time"  )
 

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