CommonTrend: Extract and plot common trends from a cointegration system.
Calculate P-value for Johansen Statistics
Directly extract and plot common trends from cointegration
systems using different approaches, currenctly 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. The Kasa's approach has a nice
property that it only uses the super consistent estimater: the
cointegration vector 'beta'. In addition, this package can also
calculate P-value for Johansen Statistics according to the
approximation method proposed by Doornik(1998).
| Version: |
0.6-1 |
| Depends: |
R (≥ 2.10) |
| Imports: |
methods, MASS, urca |
| Published: |
2011-12-07 |
| Author: |
Fan Yang |
| Maintainer: |
Fan Yang <yfno1 at msn.com> |
| License: |
GPL (≥ 2) |
| CRAN checks: |
CommonTrend results |
Downloads: