cointmonitoR-package {cointmonitoR} | R Documentation |
The cointmonitoR package
Description
Consistent Monitoring of Stationarity and Cointegrating Relationships
Details
See the vignette:
vignette("cointmonitoR")
See the DESCRIPTION:
help(package = cointmonitoR)
See the README:
https://github.com/aschersleben/cointmonitoR/blob/master/README.md
Open the package documentation page:
package?cointmonitoR
Further information and bug reporting:
https://github.com/aschersleben/cointmonitoR
Functions
-
monitorCointegration
This procedure is able to monitor a cointegration model for level or trend cointegration and returns the corresponding break point, if available. It is based on parameter estimation on a pre-break "calibration" period at the beginning of the sample that is known or assumed to be free of structural change. -
monitorStationarity
This procedure is a special case ofmonitorCointegration
, since it's able to monitor a one-dimensional vector for level or trend stationarity. -
print
Print clear results. -
plot
Plot the test statitics and the values/residuals of acointmonitoR
model.
Dependencies
This package mainly depends on our
cointReg
package.