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 Permanent-Transitory 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 P-value for Johansen Statistics according to the approximation method proposed by Doornik (1998).
|Maintainer||Fan Yang <email@example.com>|
|License||GPL (>= 2)|
|Package repository||View on GitHub|
Install the latest version of this package by entering the following in R:
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.