| Name : R-partialCI
| |
| Version : 1.2.0
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp154.5.1
| Date : 2021-12-12 00:06:27
|
| Group : Development/Libraries/Other
| Source RPM : R-partialCI-1.2.0-lp154.5.1.src.rpm
|
| Size : 0.43 MB
| |
| Packager : (none)
| |
| Summary : Partial Cointegration
|
Description :
A collection of time series is partially cointegrated if a linear
combination of these time series can be found so that the residual
spread is partially autoregressive - meaning that it can be represented
as a sum of an autoregressive series and a random walk. This concept is
useful in modeling certain sets of financial time series and beyond, as
it allows for the spread to contain transient and permanent components
alike. Partial cointegration has been introduced by Clegg and Krauss
(2017) < doi:10.1080/14697688.2017.1370122>, along with a large-scale
empirical application to financial market data. The partialCI package
comprises estimation, testing, and simulation routines for partial
cointegration models in state space. Clegg et al. (2017)
< https://hdl.handle.net/10419/150014> provide an in in-depth discussion
of the package functionality as well as illustrating examples in the
fields of finance and macroeconomics.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/15.4/x86_64 |
