Description Usage Arguments Details Value Author(s) References See Also Examples
Extract Common Trend(s) from a cointegration system according to Gonzalo and Grange(1995). This method is also known as the Permanent-Transitory Decomposition. Loading Matrix and Othogonal Complement of alpha and beta are also reported.
1 |
data |
Data used to construct the cointegration system |
rank |
Number of cointegration vectors specified |
k |
Lag order in VECM |
Currently this function assumes that no determinstic parts, such as the constant and the trend, are in the Error-Correction Terms (ECT). But it does allow the existence of constant term in the VECM (outside ECT).
An object of class ComT
.
Fan Yang
Gonzalo, J., and C. Granger, 1995. Estimation of Common Long-Memory Components in Cointegrated Systems, Journal of Business & Economic Statistics 13, 27-35.
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data(benchmark)
x=seq(1,6689,by=23) ## monthly data
global=data.frame(benchmark[x,2:4])
GG.ComT (global,2,4)
## Plot the Common Trend
G=GG.ComT (global,2,4)
Date=benchmark[x,1]
plotComT(G,1,x.axis=Date,approx.ticks=12,
legend=c("S&P 500 Price index", "Common Trend"),
main="Extract Common Trend(s) from Benchmark Markets",
ylab="Price", xlab="Time" )
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