Man pages for Fan-Yang-Econ/CommonTrend
Extract and plot common trends from a cointegration system. Calculate P-value for Johansen Statistics.
| benchmark | Data set for logged stock indices in three benchmark markets |
| ComT-class | Representation of class 'ComT' |
| GG.ComT | Permanent-Transitory Decomposition |
| Kasa.ComT | Common Trend(s) according to Kasa(1992) |
| optimlag | Search the lag order to maximize Johansen Statistics (1988) |
| optimlag-class | Representation of class 'optimlag' |
| p.Johansen | P-value of Johansen statistics |
| plotComT | Plot the common trend(s) |
| q.Johansen | Get Johansen statistics from its P-value |
