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.
|Depends:||R (≥ 2.10)|
|Imports:||methods, MASS, urca|
|Maintainer:||Fan Yang <yfno1 at msn.com>|
|License:||GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]|
|CRAN checks:||CommonTrend results|
|Windows binaries:||r-devel: CommonTrend_0.7-1.zip, r-release: CommonTrend_0.7-1.zip, r-oldrel: CommonTrend_0.7-1.zip|
|OS X El Capitan binaries:||r-release: CommonTrend_0.7-1.tgz|
|OS X Mavericks binaries:||r-oldrel: CommonTrend_0.7-1.tgz|
|Old sources:||CommonTrend archive|
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