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.

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
https://github.com/aschersleben/cointmonitoR

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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

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