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.
| Version: | 0.1.0 |
| Depends: | cointReg (≥ 0.2.0) |
| Imports: | stats, graphics, matrixStats (≥ 0.14.1) |
| Suggests: | knitr, rmarkdown |
| Published: | 2016-06-14 |
| Author: | Philipp Aschersleben [aut, cre], Martin Wagner [aut] (Author of underlying paper.), Dominik Wied [aut] (Author of underlying paper.) |
| Maintainer: | Philipp Aschersleben <aschersleben at statistik.tu-dortmund.de> |
| BugReports: | https://github.com/aschersleben/cointmonitoR/issues |
| License: | GPL-3 |
| URL: | https://github.com/aschersleben/cointmonitoR |
| NeedsCompilation: | no |
| Materials: | README NEWS |
| CRAN checks: | cointmonitoR results |
| Reference manual: | cointmonitoR.pdf |
| Vignettes: |
cointmonitoR |
| Package source: | cointmonitoR_0.1.0.tar.gz |
| Windows binaries: | r-devel: cointmonitoR_0.1.0.zip, r-release: cointmonitoR_0.1.0.zip, r-oldrel: cointmonitoR_0.1.0.zip |
| macOS binaries: | r-release: cointmonitoR_0.1.0.tgz, r-oldrel: cointmonitoR_0.1.0.tgz |
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