cotrend: Consistent Co-Trending Rank Selection

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>.

Getting started

Package details

AuthorA. Christian Silva
MaintainerA. Christian Silva <[email protected]>
LicenseGPL-3
Version1.0.2
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 Oct. 30, 2019, 10:59 a.m.