Fan-Yang-Econ/CommonTrend: Extract and plot common trends from a cointegration system. Calculate P-value for Johansen Statistics.

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).

Getting started

Package details

AuthorFan Yang
MaintainerFan Yang <>
LicenseGPL (>= 2)
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
Fan-Yang-Econ/CommonTrend documentation built on May 6, 2019, 4:09 p.m.