Cointegration methods are widely used in empirical macroeconomics and empirical finance. It is well known that in a cointegrating regression the ordinary least squares (OLS) estimator of the parameters is super-consistent, i.e. converges at rate equal to the sample size T. When the regressors are endogenous, the limiting distribution of the OLS estimator is contaminated by so-called second order bias terms, see e.g. Phillips and Hansen (1990) <DOI:10.2307/2297545>. The presence of these bias terms renders inference difficult. Consequently, several modifications to OLS that lead to zero mean Gaussian mixture limiting distributions have been proposed, which in turn make standard asymptotic inference feasible. These methods include the fully modified OLS (FM-OLS) approach of Phillips and Hansen (1990) <DOI:10.2307/2297545>, the dynamic OLS (D-OLS) approach of Phillips and Loretan (1991) <DOI:10.2307/2298004>, Saikkonen (1991) <DOI:10.1017/S0266466600004217> and Stock and Watson (1993) <DOI:10.2307/2951763> and the new estimation approach called integrated modified OLS (IM-OLS) of Vogelsang and Wagner (2014) <DOI:10.1016/j.jeconom.2013.10.015>. The latter is based on an augmented partial sum (integration) transformation of the regression model. IM-OLS is similar in spirit to the FM- and D-OLS approaches, with the key difference that it does not require estimation of long run variance matrices and avoids the need to choose tuning parameters (kernels, bandwidths, lags). However, inference does require that a long run variance be scaled out. This package provides functions for the parameter estimation and inference with all three modified OLS approaches. That includes the automatic bandwidth selection approaches of Andrews (1991) <DOI:10.2307/2938229> and of Newey and West (1994) <DOI:10.2307/2297912> as well as the calculation of the long run variance.
|Author||Philipp Aschersleben [aut, cre], Martin Wagner [aut] (Author of underlying MATLAB code.)|
|Date of publication||2016-06-14 11:58:42|
|Maintainer||Philipp Aschersleben <email@example.com>|
checkDoptions: Check list D.options.
checkObject: Variable check for single objects.
checkVars: Multiple variable checks for certain values.
cointReg: Estimation and Inference for cointegrating regressions
cointRegD: Dynamic OLS
cointRegFM: Fully Modified OLS
cointRegIM: Integrated Modified OLS
cointReg-package: The cointReg package
getBandwidth: Automatic Bandwidth Selection
getLeadLag: Leads and Lags
getLongRunVar: Long-Run Variance
getLongRunWeights: Weights for Long-Run Variance
getModD: Get D OLS model.
makeLeadLagMatrix: Leads-and-Lags Matrix
plot.cointReg: Plot Method for Cointegration Models (Modified OLS).
print.cointReg: Print Method for Cointegration Models (Modified OLS).