Learn R Programming

CommonTrend (version 0.7-1)

Extract and plot common trends from a cointegration system. Calculate P-value for Johansen Statistics.

Description

Directly extract and plot stochastic common trends from a 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. Kasa's approach, on the other hand, has a nice property that it only uses the super consistent estimator: the cointegration vector 'beta'. This package also provides functions calculate P-value from Johansen Statistics according to the approximation method proposed by Doornik (1998). Update: 0.7-1: Fix bugs in calculation alpha. Add formulas and more explanations. 0.6-1: Rewrite the description file. 0.5-1: Add functions to calculate P-value from Johansen statistic, and vice versa.

Copy Link

Version

Install

install.packages('CommonTrend')

Monthly Downloads

15

Version

0.7-1

License

GPL (>= 2)

Maintainer

Fan Yang

Last Published

September 5th, 2013

Functions in CommonTrend (0.7-1)

q.Johansen

Get Johansen statistics from its P-value
plotComT

Plot the common trend(s)
optimlag-class

Representation of class optimlag
GG.ComT

Permanent-Transitory Decomposition
benchmark

Data set for logged stock indices in three benchmark markets
optimlag

Search the lag order to maximize Johansen Statistics (1988)
p.Johansen

P-value of Johansen statistics
Kasa.ComT

Common Trend(s) according to Kasa(1992)
ComT-class

Representation of class ComT