| Name : R-cointmonitoR
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| Version : 0.1.0
| Vendor : obs://build_opensuse_org/devel:languages:R
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| Release : lp153.2.13
| Date : 2024-06-14 11:42:56
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| Group : Development/Libraries/Other
| Source RPM : R-cointmonitoR-0.1.0-lp153.2.13.src.rpm
|
| Size : 0.20 MB
| |
| Packager : (none)
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| Summary : Consistent Monitoring of Stationarity and Cointegrating Relationships
|
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) < 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.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
