Description Details Functions Dependencies
Consistent Monitoring of Stationarity and Cointegrating Relationships
See the vignette:
vignette("cointmonitoR")
See the DESCRIPTION:
help(package = cointmonitoR)
See the README:
https://github.com/aschersleben/cointmonitoR/blob/master/README.md
Open the package documentation page:
package?cointmonitoR
Further information and bug reporting:
https://github.com/aschersleben/cointmonitoR
monitorCointegration
This procedure is able to monitor a cointegration model for level or
trend cointegration and returns the corresponding break point, if
available. It is based on parameter estimation on a pre-break
"calibration" period at the beginning of the sample that is known or
assumed to be free of structural change.
monitorStationarity
This procedure is a special case of monitorCointegration
,
since it's able to monitor a one-dimensional vector for level or
trend stationarity.
print
Print clear results.
plot
Plot the test statitics and the values/residuals of a
cointmonitoR
model.
This package mainly depends on our
cointReg
package.
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