optimlag-class

Under the assumption of only one common trend, the lag order to maximize Johansen Statistic(1988).


Olag.value

 The mazimized corresponding Johansen Statistic. 


Olag

 A list of all the possible lag orders and their corresponding Johansen Statistics.


list.lags


This class contains several useful objects about the optimum lag order for further manipulations.


 optimlag 

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.

optimlag-class: Representation of class `optimlag`

Description

Arguments