cointmonitoR: Consistent Monitoring of Stationarity and Cointegrating Relationships
Version 0.1.0

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) 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 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.

AuthorPhilipp Aschersleben [aut, cre], Martin Wagner [aut] (Author of underlying paper.), Dominik Wied [aut] (Author of underlying paper.)
Date of publication2016-06-14 20:34:46
MaintainerPhilipp Aschersleben <aschersleben@statistik.tu-dortmund.de>
LicenseGPL-3
Version0.1.0
URL https://github.com/aschersleben/cointmonitoR
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("cointmonitoR")

Getting started

Package overview
README.md
cointmonitoR"

Popular 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.
See all...

All man pages Function index File listing

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.

Functions

Files

inst
inst/NEWS.md
inst/doc
inst/doc/cointmonitoR.R
inst/doc/cointmonitoR.html
inst/doc/cointmonitoR.Rmd
NAMESPACE
R
R/cointmonitoR.R
R/plot.R
R/monitorStationarity.R
R/sysdata.rda
R/print.R
R/monitorCointegration.R
R/zzz.R
vignettes
vignettes/figures
vignettes/figures/vignette-unnamed-chunk-14-1.png
vignettes/figures/vignette-unnamed-chunk-10-1.png
vignettes/figures/vignette-unnamed-chunk-7-1.png
vignettes/figures/vignette-unnamed-chunk-12-1.png
vignettes/figures/vignette-unnamed-chunk-15-1.png
vignettes/figures/vignette-unnamed-chunk-13-1.png
vignettes/figures/vignette-unnamed-chunk-8-1.png
vignettes/figures/vignette-unnamed-chunk-6-1.png
vignettes/figures/vignette-unnamed-chunk-9-1.png
vignettes/figures/vignette-unnamed-chunk-16-1.png
vignettes/figures/vignette-unnamed-chunk-17-1.png
vignettes/cointmonitoR.Rmd
README.md
MD5
build
build/vignette.rds
DESCRIPTION
man
man/print.cointmonitoR.Rd
man/monitorStationarity.Rd
man/plot.cointmonitoR.Rd
man/cointmonitoR-package.Rd
man/monitorCointegration.Rd
cointmonitoR documentation built on May 19, 2017, 1:26 p.m.

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