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Implements cointegration/co-trending rank selection algorithm in Guo and Shintani (2013) "Consistent co-trending rank selection when both stochastic and nonlinear deterministic trends are present". The Econometrics Journal 16: 473-483 <doi:10.1111/j.1368-423X.2012.00392.x>. Numbered examples correspond to Feb 2011 preprint <http://www.fas.nus.edu.sg/ecs/events/seminar/seminar-papers/05Apr11.pdf>.
Package details |
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Author | A. Christian Silva |
Maintainer | A. Christian Silva <a.christian.silva@gmail.com> |
License | GPL-3 |
Version | 1.0.2 |
Package repository | View on CRAN |
Installation |
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