A collection of time series is partially cointegrated if a linear combination of these time series can be found so that the residual spread is partially autoregressive  meaning that it can be represented as a sum of an autoregressive series and a random walk. This concept is useful in modeling certain sets of financial time series and beyond, as it allows for the spread to contain transient and permanent components alike. Partial cointegration has been introduced by Clegg and Krauss (2017) <doi:10.1080/14697688.2017.1370122>, along with a largescale empirical application to financial market data. The partialCI package comprises estimation, testing, and simulation routines for partial cointegration models in state space. Clegg et al. (2017) <https://hdl.handle.net/10419/150014> provide an in indepth discussion of the package functionality as well as illustrating examples in the fields of finance and macroeconomics.
Package details 


Author  Matthew Clegg [aut], Christopher Krauss [aut], Jonas Rende [cre, aut] 
Maintainer  Jonas Rende <jonas.rende@fau.de> 
License  GPL2  GPL3 
Version  1.2.0 
Package repository  View on CRAN 
Installation 
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