Title: Extract and plot common trends from a cointegration system
Description: Directly extract and plot common trends from cointegration systems using different approaches, currenctly 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. The Kasa's approach has a nice property that it only uses the super consistent estimater \eqn{\beta}.
Collate: 'GG.ComT.R' 'Kasa.ComT.R' 'optimlag.R' 'plotComT.R'

Title: Extact common trend(s) from a cointegration system
Description: Directly extract and plot common trends from
cointegration systems using different approaches,
currenctly 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

Title: Extract and plot common trends from a cointegration system.
Calculate P-value for Johansen Statistics.
Description: Directly extract and plot common trends from cointegration systems using different approaches, currenctly 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. The Kasa's approach has a nice property that it only uses the super consistent estimater: the cointegration vector 'beta'. In addition, this package can also calculate P-value for Johansen Statistics according to the approximation method proposed by Doornik(1998).

Package: CommonTrend
Version: 0.6-2
Date: 2011-11-13
Title: Extract and plot common trends from a cointegration system.
Calculate P-value for Johansen Statistics.
Author: Fan Yang
Maintainer: Fan Yang <yfno1@msn.com>
Depends: R (>= 2.10)
Imports: methods,MASS, urca
Description: Directly extract and plot stochastic common trends from
the 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. The Kasa's
approach, on the other hand, has a nice property that it only
uses the super consistent estimator: the cointegration vector
'beta'. In addition, this package can also calculate P-value
for Johansen Statistics according to the approximation method
proposed by Doornik (1998).
License: GPL (>= 2)
Packaged: 2012-08-17 23:48:28 UTC; yangguodaxia
Repository: CRAN
Date/Publication: 2012-08-18 05:39:28