cointReg-package {cointReg} | R Documentation |
The cointReg package
Description
Parameter Estimation and Inference in a Cointegrating Regression
Details
See the vignette:
vignette("cointReg")
See the DESCRIPTION:
help(package = cointReg)
See the README:
https://github.com/aschersleben/cointReg/blob/master/README.md
Open the package documentation page:
package?cointReg
Further information and bug reporting:
https://github.com/aschersleben/cointReg
Functions
-
cointReg(method = c("FM", "D", "IM"), ...)
General function to estimate parameters of the given model. Three methods are possible; they can be choosen directly by using one of the following functions:-
cointRegFM
: Fully Modified OLS -
cointRegD
: Dynamic OLS -
cointRegIM
: Integrated Modified OLS
-
-
print
Print clear results. -
plot
Plot the residuals of acointReg
model. Helper functions:
Checking inputs and arguments:
checkObject
,checkVars
Calculation of bandwidth and long run variance:
getBandwidth
,getBandwidthAnd
,getBandwidthNW
getLongRunVar
,getLongRunWeights
Additional D-OLS functions:
getLeadLag
,makeLeadLagMatrix
,getModD
,checkDoptions