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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.
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Package details |
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| Author | Philipp Aschersleben [aut, cre], Martin Wagner [aut] (Author of underlying paper.), Dominik Wied [aut] (Author of underlying paper.) |
| Maintainer | Philipp Aschersleben <aschersleben@statistik.tu-dortmund.de> |
| License | GPL-3 |
| Version | 0.1.0 |
| URL | https://github.com/aschersleben/cointmonitoR |
| Package repository | View on CRAN |
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