cointmonitoR: Consistent Monitoring of Stationarity and Cointegrating Relationships

We propose a consistent monitoring procedure to detect a structural change from a cointegrating relationship to a spurious relationship. The procedure is based on residuals from modified least squares estimation, using either Fully Modified, Dynamic or Integrated Modified OLS. It is inspired by Chu et al. (1996) <DOI:10.2307/2171955> in that it is based on parameter estimation on a pre-break "calibration" period only, rather than being based on sequential estimation over the full sample. See the discussion paper <DOI:10.2139/ssrn.2624657> for further information. This package provides the monitoring procedures for both the cointegration and the stationarity case (while the latter is just a special case of the former one) as well as printing and plotting methods for a clear presentation of the results.

Author
Philipp Aschersleben [aut, cre], Martin Wagner [aut] (Author of underlying paper.), Dominik Wied [aut] (Author of underlying paper.)
Date of publication
2016-06-14 20:34:46
Maintainer
Philipp Aschersleben <aschersleben@statistik.tu-dortmund.de>
License
GPL-3
Version
0.1.0
URLs

View on CRAN

Man pages

cointmonitoR-package
The cointmonitoR package
monitorCointegration
Procedure for Monitoring Level and Trend Cointegration
monitorStationarity
Procedure for Monitoring Level and Trend Stationarity
plot.cointmonitoR
Plot Method for Monitoring Procedures.
print.cointmonitoR
Print Method for Monitoring Procedures.

Files in this package

cointmonitoR
cointmonitoR/inst
cointmonitoR/inst/NEWS.md
cointmonitoR/inst/doc
cointmonitoR/inst/doc/cointmonitoR.R
cointmonitoR/inst/doc/cointmonitoR.html
cointmonitoR/inst/doc/cointmonitoR.Rmd
cointmonitoR/NAMESPACE
cointmonitoR/R
cointmonitoR/R/cointmonitoR.R
cointmonitoR/R/plot.R
cointmonitoR/R/monitorStationarity.R
cointmonitoR/R/sysdata.rda
cointmonitoR/R/print.R
cointmonitoR/R/monitorCointegration.R
cointmonitoR/R/zzz.R
cointmonitoR/vignettes
cointmonitoR/vignettes/figures
cointmonitoR/vignettes/figures/vignette-unnamed-chunk-14-1.png
cointmonitoR/vignettes/figures/vignette-unnamed-chunk-10-1.png
cointmonitoR/vignettes/figures/vignette-unnamed-chunk-7-1.png
cointmonitoR/vignettes/figures/vignette-unnamed-chunk-12-1.png
cointmonitoR/vignettes/figures/vignette-unnamed-chunk-15-1.png
cointmonitoR/vignettes/figures/vignette-unnamed-chunk-13-1.png
cointmonitoR/vignettes/figures/vignette-unnamed-chunk-8-1.png
cointmonitoR/vignettes/figures/vignette-unnamed-chunk-6-1.png
cointmonitoR/vignettes/figures/vignette-unnamed-chunk-9-1.png
cointmonitoR/vignettes/figures/vignette-unnamed-chunk-16-1.png
cointmonitoR/vignettes/figures/vignette-unnamed-chunk-17-1.png
cointmonitoR/vignettes/cointmonitoR.Rmd
cointmonitoR/README.md
cointmonitoR/MD5
cointmonitoR/build
cointmonitoR/build/vignette.rds
cointmonitoR/DESCRIPTION
cointmonitoR/man
cointmonitoR/man/print.cointmonitoR.Rd
cointmonitoR/man/monitorStationarity.Rd
cointmonitoR/man/plot.cointmonitoR.Rd
cointmonitoR/man/cointmonitoR-package.Rd
cointmonitoR/man/monitorCointegration.Rd