Description Usage Arguments Value References See Also Examples
Computes either the Phillips and Hansen (1990) Fully Modified OLS estimator, or the Saikkonen (1990) Dynamic OLS estimator, or the Vogelsang and Wagner (2014) Integrated Modified OLS estimator.
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[cointReg
] object.
Phillips, P.C.B. and B. Hansen (1990): "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, 57, 99–125, DOI:10.2307/2297545.
Phillips, P.C.B. and M. Loretan (1991): "Estimating Long Run Economic Equilibria," Review of Economic Studies, 58, 407–436, DOI:10.2307/2298004.
Saikkonen, P. (1991): "Asymptotically Efficient Estimation of Cointegrating Regressions," Econometric Theory, 7, 1–21, DOI:10.1017/S0266466600004217.
Stock, J.H. and M.W. Watson (1993): "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, 61, 783–820, DOI:10.2307/2951763.
Vogelsang, T.J. and M. Wagner (2014): "Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions," Journal of Econometrics, 148, 741–760, DOI:10.1016/j.jeconom.2013.10.015.
Other cointReg: cointRegD
,
cointRegFM
, cointRegIM
,
plot.cointReg
, print.cointReg
1 2 3 4 5 6 7 8 9 10 11 12 13 | set.seed(1909)
x1 = cumsum(rnorm(100, mean = 0.05, sd = 0.1))
x2 = cumsum(rnorm(100, sd = 0.1)) + 1
x3 = cumsum(rnorm(100, sd = 0.2)) + 2
x = cbind(x1, x2, x3)
y = x1 + x2 + x3 + rnorm(100, sd = 0.2) + 1
deter = cbind(level = 1, trend = 1:100)
cointReg("FM", x = x, y = y, deter = deter, kernel = "ba",
bandwidth = "and")
# Compare the results of all three models:
res = sapply(c("FM", "D", "IM"), cointReg, x = x, y = y, deter = deter)
do.call(cbind, lapply(res, "[[", "theta"))
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