CommonTrend: Extract and plot common trends from a cointegration system. Calculate P-value for Johansen Statistics

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.

Version: 0.7-1
Depends: R (≥ 2.10)
Imports: methods, MASS, urca
Published: 2013-09-05
Author: Fan Yang
Maintainer: Fan Yang <yfno1 at msn.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
In views: TimeSeries
CRAN checks: CommonTrend results

Downloads:

Reference manual: CommonTrend.pdf
Package source: CommonTrend_0.7-1.tar.gz
OS X binary: CommonTrend_0.7-1.tgz
Windows binary: CommonTrend_0.7-1.zip
Old sources: CommonTrend archive