Arguments
method
Character. Method used to extract the common trends.
length
Length of the common trends. It is the length of original series minus lag order.
beta
The estimated cointegration vector.
othog.beta
The othogonal complement of $\bold{\beta}$.
alpha
The estimated $\bold{\alpha}$.
othog.alpha
The othogonal complement of $\bold{\alpha}$.
common.trend
The common trends after multiplied with the loading matrix.
pure.trend
The ‘pure’ common trends without multiplying with the loading matrix.
loading.vector
The loading matrix.
stationary
The estimated stationary process.
data.used
The orginal data after adjusted with the lag order. Thus it has the same length with the estimated common trends.