README.md
In EmilNejst/Rcivecm: Cointegration Analysis With R
Disclaimer
This package is in a very early development fase and does not yet provide any useful functionality.
Rcivecm
A cointegration package for R.
The general idea
R is lacking a proper package for thorough cointegration analysis of time series data.
This project aims at remedying that. We seek to provide the full analytical power of
the principles outlined primarily in Juselius(2007) and Johansen(1996). We will also
aim at incoporating more modern extensions of these tools applying the bootstrap to
correct statistics for features of non-normality.
The scope
The project focuses solely on linear cointegration in the I(1) framework, seeking to
provide a fully fletched analysis suite for that particular framework. As such we are
not going to develop functionality allowing for non-linearities, measurement errors,
I(2) cointegration, fractional cointegration and so on. Packages handling those
extensions should be developed independently.
EmilNejst/Rcivecm documentation built on May 6, 2019, 3:47 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Disclaimer
This package is in a very early development fase and does not yet provide any useful functionality.
Rcivecm
A cointegration package for R.
The general idea
R is lacking a proper package for thorough cointegration analysis of time series data. This project aims at remedying that. We seek to provide the full analytical power of the principles outlined primarily in Juselius(2007) and Johansen(1996). We will also aim at incoporating more modern extensions of these tools applying the bootstrap to correct statistics for features of non-normality.
The scope
The project focuses solely on linear cointegration in the I(1) framework, seeking to provide a fully fletched analysis suite for that particular framework. As such we are not going to develop functionality allowing for non-linearities, measurement errors, I(2) cointegration, fractional cointegration and so on. Packages handling those extensions should be developed independently.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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