Nothing
R/LongMemoryTS-package.R
In LongMemoryTS: Long Memory Time Series
#' LongMemoryTS: Long Memory Time Series
#'
#' The LongMemoryTS package is a collection of functions for estimation,
#' simulation and testing of long memory processes, spurious long memory processes,
#' and fractionally cointegrated systems.
#'
#' @docType package
#' @seealso \code{\link{ARRLS.sim}}, \code{\link{ELW}}, \code{\link{ELW2S}},
#' \code{\link{F.hat}}, \code{\link{FCI_CH03}}, \code{\link{FCI_CH06}},
#' \code{\link{FCI_MV04}}, \code{\link{FCI_N10}}, \code{\link{FCI_NS07}},
#' \code{\link{FCI_R08}}, \code{\link{FCI_SRFB18}}, \code{\link{FCI_WWC15}},
#' \code{\link{FCI_ZRY18}}, \code{\link{FDLS}}, \code{\link{FI.sim}},
#' \code{\link{FMNBLS}}, \code{\link{G.hat}}, \code{\link{GSE}},
#' \code{\link{GSE_coint}}, \code{\link{Hou.Perron}}, \code{\link{LPWN}},
#' \code{\link{MLWS}}, \code{\link{McC.Perron}}, \code{\link{Peri}},
#' \code{\link{Qu.test}}, \code{\link{T.rho}}, \code{\link{T0stat}},
#' \code{\link{VARFIMA.est}}, \code{\link{VARFIMA.sim}}, \code{\link{W_multi}},
#' \code{\link{cross.Peri}}, \code{\link{ddiffw}}, \code{\link{fBM}}, \code{\link{fdiff}},
#' \code{\link{gph}}, \code{\link{ll.VARFIMA}}, \code{\link{local.W}},
#' \code{\link{partition.X}}, \code{\link{pre.White}}, \code{\link{rank.est}}
#'
#' @author Christian Hendrik Leschinski <christian_leschinski@gmx.de>, Michelle Voges, Kai Wenger
#' @name LongMemoryTS
#' @references Bai, J. and Perron, P. (1998): Estimating and Testing Linear Models With Multiple Structural Changes. Econometrica, Vol. 66, No. 1, pp. 47 - 78.
#'
#' Bai, J. and Perron, P. (2003): Computation and Analysis of Multiple Structural Change Models. Journal of Applied Econometrics, Vol. 18, pp. 1-22.
#'
#' Bardet, J.-M. et al. (2003): Generators of long-range dependent processes: a survey.
#' Theory and applications of long-range dependence, pp. 579 - 623, Birkhauser Boston.
#'
#' Chen, W. W. and Hurvich, C. M. (2003): Semiparametric estimation of multivariate fractional cointegration. Journal of the American Statistical Association, Vol. 98, No. 463, pp. 629 - 642.
#'
#' Chen, W. W. and Hurvich, C. M. (2006): Semiparametric estimation of fractional cointegrating subspaces. The Annals of Statistics, Vol. 34, No. 6, pp. 2939 - 2979.
#'
#' Christensen, B. J. and Nielsen, M. O. (2006): Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting. Journal of Econometrics, 133, pp. 343-371.
#'
#' Davidson, J., Hashimzade, N. (2009). Type I and type II fractional Brownian motions: A reconsideration.
#' Computational Statistics & Data Analysis, No. 53, Vol. 6, pp. 2089 - 2106.
#'
#' Frederiksen, P., Nielsen, F. S., and Nielsen, M. O. (2012): Local polynomial Whittle estimation of perturbed fractional processes. Journal of Econometrics, Vol. 167, No.2, pp. 426-447.
#'
#' Geweke, J. and Porter-Hudak, S. (1983): The estimation and application of long memory time series models. Journal of Time Series Analysis, 4, 221-238.
#'
#' Hou, J., Perron, P. (2014): Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations. Journal of Econometrics, Vol. 182, No. 2, pp. 309 - 328.
#'
#' Hualde, J. (2013): A simple test for the equality of integration orders. Economics Letters, Vol. 119, No. 3, pp. 233 - 237.
#'
#' Hurvich, C. M., and Chen, W. W. (2000): An Efficient Taper for Potentially Overdifferenced Long-Memory Time Series. Journal of Time Series Analysis, Vol. 21, No. 2, pp. 155-180.
#'
#' Jensen, A. N. and Nielsen, M. O. (2014): A fast fractional difference algorithm. Journal of Time Series Analysis 35(5), pp. 428-436.
#'
#' Lavielle, M. and Moulines, E. (2000): Least Squares Estimation of an Unknown Number of Shifts in a Time Series. Journal of Time Series Analysis, Vol. 21, No. 1, pp. 33 - 59.
#'
#' Lutkepohl, H. (2007): New introduction to multiple time series analysis. Springer.
#'
#' Marinucci, D., Robinson, P. M. (1999). Alternative forms of fractional Brownian motion.
#' Journal of Statistical Planning and Inference, Vol. 80 No. 1-2, pp. 111 - 122.
#'
#' Marmol, F. and Velasco, C. (2004): Consistent testing of cointegrating relationships. Econometrica, Vol. 72, No. 6, pp. 1809 - 1844.
#'
#' McCloskey, A. and Perron, P. (2013): Memory parameter estimation in the presence of level shifts and deterministic trends. Econometric Theory, 29, pp. 1196-1237.
#'
#' Nielsen, M. O. (2010): Nonparametric cointegration analysis of fractional systems with unknown integration orders. Journal of Econometrics, Vol. 155, No. 2, pp. 170 - 187.
#'
#' Nielsen, M. O. and Frederiksen (2011): Fully modified narrow-band least squares estimation of weak fractional cointegration. The Econometrics Journal, 14, pp. 77-120.
#'
#' Nielsen, M. O. and Shimotsu, K. (2007): Determining the coinegrating rank in nonstationary fractional systems by the exact local Whittle approach. Journal of Econometrics, 141, pp. 574-59.
#'
#' Qu, Z. (2011): A Test Against Spurious Long Memory. Journal of Business and Economic Statistics, Vol. 29, No. 3, pp. 423 - 438.
#'
#' Robinson, P. M., (1994): Semiparametric analysis of long-memory time series. Annals of Statistics, 22, pp. 515-539.
#'
#' Robinson, P. M. (1995): Log-periodogram regression of time series with long range dependence. The Annals of Statistics, Vol. 23, No. 5, pp. 1048 - 1072.
#'
#' Robinson, P. M. (1995): Gaussian Semiparametric Estimation of Long Range Dependence. The Annals of Statistics, Vol. 23, No. 5, pp. 1630 - 1661.
#'
#' Robinson, P. (2008): Diagnostic testing for cointegration. Journal of Econometrics, Vol. 143, No. 1, pp. 206 - 225.
#'
#' Robinson, P. M. and Marinucci, D. (2003): Semiparametric frequency domain analysis of fractional cointegration. In: Robinson, P. M. (Ed.), Time Series with Long Memory, Oxford University Press, Oxford, pp. 334-373.
#'
#' Robinson, P. M. and Yajima, Y. (2002): Determination of cointegrating rank in fractional systems. Journal of Econometrics, Vol. 106, No.2, pp. 217-241.
#'
#' Shimotsu, K. (2007): Gaussian semiparametric estimation of multivariate fractionally integrated processes. Journal of Econometrics, Vol. 137, No. 2, pp. 277 - 310.
#'
#' Shimotsu, K. (2010): Exact Local Whittle Estimation Of Fractional Integration with Unknown Mean and Time Trend. Econometric Theory, Vol. 26, pp. 501 - 540.
#'
#' Shimotsu, K. and Phillips, P. C. B. (2005): Exact Local Whittle Estimation Of Fractional Integration. The Annals of Statistics, Vol. 33, No. 4, pp. 1890-1933.
#'
#' Sibbertsen, P., Leschinski, C. H., Holzhausen, M., (2018): A Multivariate Test Against Spurious Long Memory. Journal of Econometrics, Vol. 203, No. 1, pp. 33 - 49.
#'
#' Souza, I. V. M., Reisen, V. A., Franco, G. d. C. and Bondon, P. (2018): The estimation and testing of the cointegration order based on the frequency domain. Journal of Business & Economic Statistics, Vol. 36, No. 4, pp. 695 - 704.
#'
#' Velasco, C. (1999): Gaussian Semiparametric Estimation for Non-Stationary Time Series. Journal of Time Series Analysis, Vol. 20, No. 1, pp. 87-126.
#'
#' Wang, B., Wang, M. and Chan, N. H. (2015): Residual-based test for fractional cointegration. Economics Letters, Vol. 126, pp. 43 - 46.
#'
#' Xu, J. and Perron, P. (2014): Forecasting return volatility: Level shifts with varying jump probability and mean reversion. International Journal of Forecasting, 30, pp. 449-463.
#'
#' Zhang, R., Robinson, P. and Yao, Q. (2018): Identifying cointegration by eigenanalysis. Journal of the American Statistical Association (forthcoming).
NULL
Try the LongMemoryTS package in your browser
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LongMemoryTS documentation built on May 2, 2019, 5:58 a.m.
R Package Documentation
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
#' LongMemoryTS: Long Memory Time Series
#'
#' The LongMemoryTS package is a collection of functions for estimation,
#' simulation and testing of long memory processes, spurious long memory processes,
#' and fractionally cointegrated systems.
#'
#' @docType package
#' @seealso \code{\link{ARRLS.sim}}, \code{\link{ELW}}, \code{\link{ELW2S}},
#' \code{\link{F.hat}}, \code{\link{FCI_CH03}}, \code{\link{FCI_CH06}},
#' \code{\link{FCI_MV04}}, \code{\link{FCI_N10}}, \code{\link{FCI_NS07}},
#' \code{\link{FCI_R08}}, \code{\link{FCI_SRFB18}}, \code{\link{FCI_WWC15}},
#' \code{\link{FCI_ZRY18}}, \code{\link{FDLS}}, \code{\link{FI.sim}},
#' \code{\link{FMNBLS}}, \code{\link{G.hat}}, \code{\link{GSE}},
#' \code{\link{GSE_coint}}, \code{\link{Hou.Perron}}, \code{\link{LPWN}},
#' \code{\link{MLWS}}, \code{\link{McC.Perron}}, \code{\link{Peri}},
#' \code{\link{Qu.test}}, \code{\link{T.rho}}, \code{\link{T0stat}},
#' \code{\link{VARFIMA.est}}, \code{\link{VARFIMA.sim}}, \code{\link{W_multi}},
#' \code{\link{cross.Peri}}, \code{\link{ddiffw}}, \code{\link{fBM}}, \code{\link{fdiff}},
#' \code{\link{gph}}, \code{\link{ll.VARFIMA}}, \code{\link{local.W}},
#' \code{\link{partition.X}}, \code{\link{pre.White}}, \code{\link{rank.est}}
#'
#' @author Christian Hendrik Leschinski <christian_leschinski@gmx.de>, Michelle Voges, Kai Wenger
#' @name LongMemoryTS
#' @references Bai, J. and Perron, P. (1998): Estimating and Testing Linear Models With Multiple Structural Changes. Econometrica, Vol. 66, No. 1, pp. 47 - 78.
#'
#' Bai, J. and Perron, P. (2003): Computation and Analysis of Multiple Structural Change Models. Journal of Applied Econometrics, Vol. 18, pp. 1-22.
#'
#' Bardet, J.-M. et al. (2003): Generators of long-range dependent processes: a survey.
#' Theory and applications of long-range dependence, pp. 579 - 623, Birkhauser Boston.
#'
#' Chen, W. W. and Hurvich, C. M. (2003): Semiparametric estimation of multivariate fractional cointegration. Journal of the American Statistical Association, Vol. 98, No. 463, pp. 629 - 642.
#'
#' Chen, W. W. and Hurvich, C. M. (2006): Semiparametric estimation of fractional cointegrating subspaces. The Annals of Statistics, Vol. 34, No. 6, pp. 2939 - 2979.
#'
#' Christensen, B. J. and Nielsen, M. O. (2006): Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting. Journal of Econometrics, 133, pp. 343-371.
#'
#' Davidson, J., Hashimzade, N. (2009). Type I and type II fractional Brownian motions: A reconsideration.
#' Computational Statistics & Data Analysis, No. 53, Vol. 6, pp. 2089 - 2106.
#'
#' Frederiksen, P., Nielsen, F. S., and Nielsen, M. O. (2012): Local polynomial Whittle estimation of perturbed fractional processes. Journal of Econometrics, Vol. 167, No.2, pp. 426-447.
#'
#' Geweke, J. and Porter-Hudak, S. (1983): The estimation and application of long memory time series models. Journal of Time Series Analysis, 4, 221-238.
#'
#' Hou, J., Perron, P. (2014): Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations. Journal of Econometrics, Vol. 182, No. 2, pp. 309 - 328.
#'
#' Hualde, J. (2013): A simple test for the equality of integration orders. Economics Letters, Vol. 119, No. 3, pp. 233 - 237.
#'
#' Hurvich, C. M., and Chen, W. W. (2000): An Efficient Taper for Potentially Overdifferenced Long-Memory Time Series. Journal of Time Series Analysis, Vol. 21, No. 2, pp. 155-180.
#'
#' Jensen, A. N. and Nielsen, M. O. (2014): A fast fractional difference algorithm. Journal of Time Series Analysis 35(5), pp. 428-436.
#'
#' Lavielle, M. and Moulines, E. (2000): Least Squares Estimation of an Unknown Number of Shifts in a Time Series. Journal of Time Series Analysis, Vol. 21, No. 1, pp. 33 - 59.
#'
#' Lutkepohl, H. (2007): New introduction to multiple time series analysis. Springer.
#'
#' Marinucci, D., Robinson, P. M. (1999). Alternative forms of fractional Brownian motion.
#' Journal of Statistical Planning and Inference, Vol. 80 No. 1-2, pp. 111 - 122.
#'
#' Marmol, F. and Velasco, C. (2004): Consistent testing of cointegrating relationships. Econometrica, Vol. 72, No. 6, pp. 1809 - 1844.
#'
#' McCloskey, A. and Perron, P. (2013): Memory parameter estimation in the presence of level shifts and deterministic trends. Econometric Theory, 29, pp. 1196-1237.
#'
#' Nielsen, M. O. (2010): Nonparametric cointegration analysis of fractional systems with unknown integration orders. Journal of Econometrics, Vol. 155, No. 2, pp. 170 - 187.
#'
#' Nielsen, M. O. and Frederiksen (2011): Fully modified narrow-band least squares estimation of weak fractional cointegration. The Econometrics Journal, 14, pp. 77-120.
#'
#' Nielsen, M. O. and Shimotsu, K. (2007): Determining the coinegrating rank in nonstationary fractional systems by the exact local Whittle approach. Journal of Econometrics, 141, pp. 574-59.
#'
#' Qu, Z. (2011): A Test Against Spurious Long Memory. Journal of Business and Economic Statistics, Vol. 29, No. 3, pp. 423 - 438.
#'
#' Robinson, P. M., (1994): Semiparametric analysis of long-memory time series. Annals of Statistics, 22, pp. 515-539.
#'
#' Robinson, P. M. (1995): Log-periodogram regression of time series with long range dependence. The Annals of Statistics, Vol. 23, No. 5, pp. 1048 - 1072.
#'
#' Robinson, P. M. (1995): Gaussian Semiparametric Estimation of Long Range Dependence. The Annals of Statistics, Vol. 23, No. 5, pp. 1630 - 1661.
#'
#' Robinson, P. (2008): Diagnostic testing for cointegration. Journal of Econometrics, Vol. 143, No. 1, pp. 206 - 225.
#'
#' Robinson, P. M. and Marinucci, D. (2003): Semiparametric frequency domain analysis of fractional cointegration. In: Robinson, P. M. (Ed.), Time Series with Long Memory, Oxford University Press, Oxford, pp. 334-373.
#'
#' Robinson, P. M. and Yajima, Y. (2002): Determination of cointegrating rank in fractional systems. Journal of Econometrics, Vol. 106, No.2, pp. 217-241.
#'
#' Shimotsu, K. (2007): Gaussian semiparametric estimation of multivariate fractionally integrated processes. Journal of Econometrics, Vol. 137, No. 2, pp. 277 - 310.
#'
#' Shimotsu, K. (2010): Exact Local Whittle Estimation Of Fractional Integration with Unknown Mean and Time Trend. Econometric Theory, Vol. 26, pp. 501 - 540.
#'
#' Shimotsu, K. and Phillips, P. C. B. (2005): Exact Local Whittle Estimation Of Fractional Integration. The Annals of Statistics, Vol. 33, No. 4, pp. 1890-1933.
#'
#' Sibbertsen, P., Leschinski, C. H., Holzhausen, M., (2018): A Multivariate Test Against Spurious Long Memory. Journal of Econometrics, Vol. 203, No. 1, pp. 33 - 49.
#'
#' Souza, I. V. M., Reisen, V. A., Franco, G. d. C. and Bondon, P. (2018): The estimation and testing of the cointegration order based on the frequency domain. Journal of Business & Economic Statistics, Vol. 36, No. 4, pp. 695 - 704.
#'
#' Velasco, C. (1999): Gaussian Semiparametric Estimation for Non-Stationary Time Series. Journal of Time Series Analysis, Vol. 20, No. 1, pp. 87-126.
#'
#' Wang, B., Wang, M. and Chan, N. H. (2015): Residual-based test for fractional cointegration. Economics Letters, Vol. 126, pp. 43 - 46.
#'
#' Xu, J. and Perron, P. (2014): Forecasting return volatility: Level shifts with varying jump probability and mean reversion. International Journal of Forecasting, 30, pp. 449-463.
#'
#' Zhang, R., Robinson, P. and Yao, Q. (2018): Identifying cointegration by eigenanalysis. Journal of the American Statistical Association (forthcoming).
NULL
Try the LongMemoryTS package in your browser
Any scripts or data that you put into this service are public.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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