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cotrend (version 1.0.2)

Consistent Co-Trending Rank Selection

Description

Implements cointegration/co-trending rank selection algorithm in Guo and Shintani (2013) "Consistent co-trending rank selection when both stochastic and nonlinear deterministic trends are present". The Econometrics Journal 16: 473-483 . Numbered examples correspond to Feb 2011 preprint .

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Version

Install

install.packages('cotrend')

Monthly Downloads

168

Version

1.0.2

License

GPL-3

Maintainer

A. Silva

Last Published

October 21st, 2019

Functions in cotrend (1.0.2)

Examples

Examples time series presented in Guo and Shintani (2011) to test their algorithm.
cotrend

Consistent Cotrending Rank Selection
cotrend-internal

Internal cotrend functions