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 superconsistent, 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 socalled 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 (FMOLS) approach of Phillips and Hansen (1990) <DOI:10.2307/2297545>, the dynamic OLS (DOLS) 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 (IMOLS) 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. IMOLS is similar in spirit to the FM and DOLS 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.
Package details 


Author  Philipp Aschersleben [aut, cre], Martin Wagner [aut] (Author of underlying MATLAB code.) 
Maintainer  Philipp Aschersleben <[email protected]> 
License  GPL3 
Version  0.2.0 
URL  https://github.com/aschersleben/cointReg 
Package repository  View on CRAN 
Installation 
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