JohansenCointegrationTest: Johansen Cointegration Test
In ivanliu1989/RQuantTrader: A collection of functions for pair trading
Description
Usage
Arguments
Value
Examples
View source: R/JohansenCointegrationTest.R
Description
Conducts the Johansen procedure on a given data set.
The "trace" or "eigen" statistics are reported and the matrix of eigenvectors as well as the loading matrix.
Usage
1
JohansenCointegrationTest(x, type = "trace", ecdet = "none", K = 2)
Arguments
x
Data matrix to be investigated for cointegration.
type
The test to be conducted, either ‘eigen’ or ‘trace’.
ecdet
Character, ‘none’ for no intercept in cointegration, ‘const’ for constant term in cointegration and ‘trend’ for trend variable in cointegration.
K
The lag order of the series (levels) in the VAR.
Value
A list of Johansen Cointegration test results
Examples
1
2
3
4
getFX("AUD/USD")
getFX("CAD/USD")
res <- JohansenCointegrationTest(merge(AUDUSD, CADUSD), type = "trace", ecdet = "none", K = 2)
res
ivanliu1989/RQuantTrader documentation built on Sept. 13, 2019, 11:54 a.m.
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Description Usage Arguments Value Examples
View source: R/JohansenCointegrationTest.R
Description
Conducts the Johansen procedure on a given data set. The "trace" or "eigen" statistics are reported and the matrix of eigenvectors as well as the loading matrix.
Usage
1 | JohansenCointegrationTest(x, type = "trace", ecdet = "none", K = 2)
|
Arguments
x |
Data matrix to be investigated for cointegration. |
type |
The test to be conducted, either ‘eigen’ or ‘trace’. |
ecdet |
Character, ‘none’ for no intercept in cointegration, ‘const’ for constant term in cointegration and ‘trend’ for trend variable in cointegration. |
K |
The lag order of the series (levels) in the VAR. |
Value
A list of Johansen Cointegration test results
Examples
1 2 3 4 | getFX("AUD/USD")
getFX("CAD/USD")
res <- JohansenCointegrationTest(merge(AUDUSD, CADUSD), type = "trace", ecdet = "none", K = 2)
res
|
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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