cointReg {cointReg}  R Documentation 
Estimation and Inference for cointegrating regressions
Description
Computes either the Phillips and Hansen (1990) Fully Modified OLS estimator, or the Saikkonen (1990) Dynamic OLS estimator, or the Vogelsang and Wagner (2014) Integrated Modified OLS estimator.
Usage
cointReg(method = c("FM", "D", "IM"), x, y, ...)
Arguments
method 
[

x 
[ 
y 
[ 
... 
[

Value
[cointReg
] object.
References
Phillips, P.C.B. and B. Hansen (1990): "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, 57, 99–125, DOI:10.2307/2297545.
Phillips, P.C.B. and M. Loretan (1991): "Estimating Long Run Economic Equilibria," Review of Economic Studies, 58, 407–436, DOI:10.2307/2298004.
Saikkonen, P. (1991): "Asymptotically Efficient Estimation of Cointegrating Regressions," Econometric Theory, 7, 1–21, DOI:10.1017/S0266466600004217.
Stock, J.H. and M.W. Watson (1993): "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, 61, 783–820, DOI:10.2307/2951763.
Vogelsang, T.J. and M. Wagner (2014): "Integrated Modified OLS Estimation and Fixedb Inference for Cointegrating Regressions," Journal of Econometrics, 148, 741–760, DOI:10.1016/j.jeconom.2013.10.015.
See Also
Other cointReg: cointRegD
,
cointRegFM
, cointRegIM
,
plot.cointReg
, print.cointReg
Examples
set.seed(1909)
x1 = cumsum(rnorm(100, mean = 0.05, sd = 0.1))
x2 = cumsum(rnorm(100, sd = 0.1)) + 1
x3 = cumsum(rnorm(100, sd = 0.2)) + 2
x = cbind(x1, x2, x3)
y = x1 + x2 + x3 + rnorm(100, sd = 0.2) + 1
deter = cbind(level = 1, trend = 1:100)
cointReg("FM", x = x, y = y, deter = deter, kernel = "ba",
bandwidth = "and")
# Compare the results of all three models:
res = sapply(c("FM", "D", "IM"), cointReg, x = x, y = y, deter = deter)
do.call(cbind, lapply(res, "[[", "theta"))