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cointmonitoR
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Download and install cointmonitoR package within the R console
Install from CRAN:
install.packages("cointmonitoR")
Install from Github:
library("remotes")
install_github("cran/cointmonitoR")
Install by package version:
library("remotes")
install_version("cointmonitoR", "0.1.0")
Attach the package and use:
library("cointmonitoR")
Maintained by
Philipp Aschersleben
[Scholar Profile | Author Map]
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2016-06-14
Latest Update: 2016-06-14
Description:
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) 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 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.
How to cite:
Philipp Aschersleben (2016). cointmonitoR: Consistent Monitoring of Stationarity and Cointegrating Relationships. R package version 0.1.0, https://cran.r-project.org/web/packages/cointmonitoR
Previous versions and publish date:
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imports, suggests or enhances
Functions, R codes and Examples using
the cointmonitoR R package
Some associated functions: cointmonitoR-package . monitorCointegration . monitorStationarity . plot.cointmonitoR . print.cointmonitoR .
Some associated R codes: cointmonitoR.R . monitorCointegration.R . monitorStationarity.R . plot.R . print.R . zzz.R . Full cointmonitoR package functions and examples
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