Directly extract and plot stochastic common trends from the cointegration system using different approaches, currently including Kasa (1992) and Gonzalo and Granger (1995). The approach proposed by Gonzalo and Granger, also known as PermanentTransitory Decomposition, is widely used in macroeconomics and market microstructure literature. The Kasa's approach, on the other hand, has a nice property that it only uses the super consistent estimator: the cointegration vector 'beta'. In addition, this package can also calculate Pvalue for Johansen Statistics according to the approximation method proposed by Doornik (1998).
Package details 


Author  Fan Yang 
Maintainer  Fan Yang <yfno1@msn.com> 
License  GPL (>= 2) 
Version  0.62 
Package repository  View on GitHub 
Installation 
Install the latest version of this package by entering the following in R:

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