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).
| Version: |
0.6-2 |
| Depends: |
R (≥ 2.10) |
| Imports: |
methods, MASS, urca |
| Published: |
2012-08-18 |
| Author: |
Fan Yang |
| Maintainer: |
Fan Yang <yfno1 at msn.com> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: |
no |
| In views: |
TimeSeries |
| CRAN checks: |
CommonTrend results |
Downloads: