cointReg: Parameter Estimation and Inference in a Cointegrating Regression

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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 <aschersleben@statistik.tu-dortmund.de>
License
GPL-3
Version
0.2.0
URLs

View on CRAN

Man pages

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).

Files in this package

cointReg
cointReg/inst
cointReg/inst/NEWS.md
cointReg/inst/doc
cointReg/inst/doc/cointReg.R
cointReg/inst/doc/cointReg.Rmd
cointReg/inst/doc/cointReg.html
cointReg/NAMESPACE
cointReg/R
cointReg/R/cointReg-IM-OLS.R
cointReg/R/longrun-var.R
cointReg/R/plot.R
cointReg/R/cointReg-FM-OLS.R
cointReg/R/cointReg.R
cointReg/R/print.R
cointReg/R/bandwidth.R
cointReg/R/cointReg-D-OLS.R
cointReg/R/check-arguments.R
cointReg/R/zzz.R
cointReg/vignettes
cointReg/vignettes/figures
cointReg/vignettes/figures/vignette-unnamed-chunk-4-1.png
cointReg/vignettes/figures/vignette-unnamed-chunk-10-1.png
cointReg/vignettes/figures/vignette-unnamed-chunk-7-1.png
cointReg/vignettes/figures/vignette-unnamed-chunk-8-1.png
cointReg/vignettes/figures/vignette-unnamed-chunk-11-1.png
cointReg/vignettes/figures/vignette-unnamed-chunk-9-1.png
cointReg/vignettes/figures/vignette-unnamed-chunk-5-1.png
cointReg/vignettes/cointReg.Rmd
cointReg/README.md
cointReg/MD5
cointReg/build
cointReg/build/vignette.rds
cointReg/DESCRIPTION
cointReg/man
cointReg/man/getLongRunWeights.Rd
cointReg/man/cointReg-package.Rd
cointReg/man/getModD.Rd
cointReg/man/cointRegIM.Rd
cointReg/man/print.cointReg.Rd
cointReg/man/checkDoptions.Rd
cointReg/man/checkObject.Rd
cointReg/man/cointRegD.Rd
cointReg/man/makeLeadLagMatrix.Rd
cointReg/man/cointReg.Rd
cointReg/man/checkVars.Rd
cointReg/man/cointRegFM.Rd
cointReg/man/getLeadLag.Rd
cointReg/man/getBandwidth.Rd
cointReg/man/plot.cointReg.Rd
cointReg/man/getLongRunVar.Rd