cotrend: Consistant Cotrend Rank Selection
Version 1.0.1

Implements cointegration/cotrending rank selection algorithm in Guo and Shintani (2013) "Consistant cotrending rank selection when both stochastic and nonlinear deterministic trends are present". The Econometrics Journal 16: 473-483 . Numbered examples correspond to Feb 2011 preprint .

Getting started

Package details

AuthorA. Christian Silva
Date of publication2018-03-19 16:24:27 UTC
MaintainerA. Christian Silva <[email protected]>
LicenseGPL-3
Version1.0.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("cotrend")

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cotrend documentation built on March 19, 2018, 5:04 p.m.