coint | R Documentation |
coint
seeks for a contemporaneous linear
transformation for a multivariate time series such that we can identifying
cointegration rank from the transformed series.
coint( Y, lag.k = 5, type = c("acf", "pptest", "chang", "all"), c0 = 0.3, m = 20, alpha = 0.01 )
Y |
{\bf Y} = \{{\bf y}_1, … , {\bf y}_n \}', a data matrix with n rows and p columns, where n is the sample size and p is the dimension of {\bf y}_t. |
lag.k |
Time lag k_0 used to calculate the nonnegative definte matrix \widehat{{\bf W}}_y: \widehat{\mathbf{W}}_y\ =\ ∑_{k=0}^{k_0}\widehat{\mathbf{Σ}}_y(k)\widehat{\mathbf{Σ}}_y(k)' where \widehat{\bf Σ}_y(k) is the sample autocovariance of \widehat{{\bf y}_t} at lag k. |
type |
The method of identifying cointegration rank after segment
procedure. Option is |
c0 |
The prescribed constant for identifying
cointegration rank using |
m |
The prescribed constant for identifying
cointegration rank using |
alpha |
The prescribed significance level for identifying
cointegration rank using |
A list containing the following components:
result |
A 1 \times 1 matrix representing the cointegration rank.
If |
Zhang, R., Robinson, P. & Yao, Q. (2019). Identifying Cointegration by Eigenanalysis. Journal of the American Statistical Association, Vol. 114, pp. 916–927
p <- 10 n <- 1000 r <- 3 d <- 1 X <- mat.or.vec(p, n) X[1,] <- arima.sim(n-d, model = list(order=c(0, d, 0))) for(i in 2:3)X[i,] <- rnorm(n) for(i in 4:(r+1)) X[i, ] <- arima.sim(model = list(ar = 0.5), n) for(i in (r+2):p) X[i, ] <- arima.sim(n = (n-d), model = list(order=c(1, d, 1), ar=0.6, ma=0.8)) M1 <- matrix(c(1, 1, 0, 1/2, 0, 1, 0, 1, 0), ncol = 3, byrow = TRUE) A <- matrix(runif(p*p, -3, 3), ncol = p) A[1:3,1:3] <- M1 Y <- t(A%*%X) coint(Y, type = "all")
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