Package: cointmonitoR 0.1.0.9000

cointmonitoR: 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.

Authors:Philipp Aschersleben [aut, cre], Martin Wagner [aut], Dominik Wied [aut]

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NEWS

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Bug tracker:https://github.com/aschersleben/cointmonitor/issues

On CRAN:

2 exports 3 stars 0.92 score 5 dependencies 6 scripts 146 downloads

Last updated 8 years agofrom:49e79e21ec. Checks:OK: 7. Indexed: yes.

Exports:monitorCointegrationmonitorStationarity

Dependencies:backportscheckmatecointRegMASSmatrixStats