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 <firstname.lastname@example.org>|
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.