README.md
In Fan-Yang-Econ/CommonTrend: Extract and plot common trends from a cointegration system. Calculate P-value for Johansen Statistics.
CommonTrend
Please see the published version on the official R website: http://cran.r-project.org/web/packages/CommonTrend/index.html
Description
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).
Miscellaneous
- Version: 0.6-2
- Depends: R (≥ 2.10)
- Imports: methods, MASS, urca
- Published: 2012-08-18
- Author: Fan Yang
- Maintainer: Fan Yang
- License: GPL (≥ 2)
- In views: TimeSeries
- CRAN checks: CommonTrend results
Fan-Yang-Econ/CommonTrend documentation built on May 6, 2019, 4:09 p.m.
R Package Documentation
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
CommonTrend
Please see the published version on the official R website: http://cran.r-project.org/web/packages/CommonTrend/index.html
Description
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).
Miscellaneous
- Version: 0.6-2
- Depends: R (≥ 2.10)
- Imports: methods, MASS, urca
- Published: 2012-08-18
- Author: Fan Yang
- Maintainer: Fan Yang
- License: GPL (≥ 2)
- In views: TimeSeries
- CRAN checks: CommonTrend results
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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