cointmonitoR-package


Consistent Monitoring of Stationarity and Cointegrating Relationships


We propose a consistent monitoring procedure to detect a
structural change from a cointegrating relationship to a spurious
relationship. The procedure is based on residuals from modified least
squares estimation, using either Fully Modified, Dynamic or Integrated
Modified OLS. It is inspired by Chu et al. (1996) <DOI:10.2307/2171955> in
that it is based on parameter estimation on a pre-break "calibration" period
only, rather than being based on sequential estimation over the full sample.
See the discussion paper <DOI:10.2139/ssrn.2624657> for further information.
This package provides the monitoring procedures for both the cointegration
and the stationarity case (while the latter is just a special case of the
former one) as well as printing and plotting methods for a clear
presentation of the results.

Philipp Aschersleben

cointmonitoR

Consistent Monitoring of Stationarity and Cointegrating
Relationships

cointmonitoR-package function

 <ul>
<li> <code><a rd-options="" href="/link/monitorCointegration?package=cointmonitoR&version=0.1.0" data-mini-rdoc="cointmonitoR::monitorCointegration">monitorCointegration</a></code>
        This procedure is able to monitor a cointegration model for level or
        trend cointegration and returns the corresponding break point, if
        available. It is based on parameter estimation on a pre-break
        "calibration" period at the beginning of the sample that is known or
        assumed to be free of structural change. </li>
<li> <code><a rd-options="" href="/link/monitorStationarity?package=cointmonitoR&version=0.1.0" data-mini-rdoc="cointmonitoR::monitorStationarity">monitorStationarity</a></code>
        This procedure is a special case of <code>monitorCointegration</code>,
        since it's able to monitor a one-dimensional vector for level or
        trend stationarity. </li>
<li> <code><a rd-options="=print.cointmonitoR" href="/link/print?package=cointmonitoR&version=0.1.0&to=%3Dprint.cointmonitoR" data-mini-rdoc="=print.cointmonitoR::print">print</a></code>
        Print clear results.
  </li>
<li> <code><a rd-options="=plot.cointmonitoR" href="/link/plot?package=cointmonitoR&version=0.1.0&to=%3Dplot.cointmonitoR" data-mini-rdoc="=plot.cointmonitoR::plot">plot</a></code>
        Plot the test statitics and the values/residuals of a
        <code>cointmonitoR</code> model.
</li>
</ul> 

Functions

 This package mainly depends on our
<a href="https://cran.r-project.org/package=cointReg"><code>cointReg</code></a> package.

cointmonitoR-package: The cointmonitoR package

Description

Arguments

Functions

Dependencies

Details