matthewclegg/partialCI: Partial Cointegration

A collection of time series is partially cointegrated if a linear combination of these time series can be found so that the residual spread is partially autoregressive - meaning that it can be represented as a sum of an autoregressive series and a random walk. This concept is useful in modeling certain sets of financial time series and beyond, as it allows for the spread to contain transient and permanent components alike. Partial cointegration has been introduced by Clegg and Krauss (2016) <>, along with a large-scale empirical application to financial market data. The partialCI package comprises estimation, testing, and simulation routines for partial cointegration models in state space. Clegg et al. (2017) <> provide an in in-depth discussion of the package functionality as well as illustrating examples in the fields of finance and macroeconomics.

Getting started

Package details

AuthorMatthew Clegg [aut], Christopher Krauss [aut], Jonas Rende [cre, aut]
MaintainerJonas Rende <[email protected]>
LicenseGPL-2 | GPL-3
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
matthewclegg/partialCI documentation built on May 21, 2017, 9:57 p.m.