cointmonitoR-package {cointmonitoR}

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 of monitorCointegration, 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 a cointmonitoR model.

Dependencies

This package mainly depends on our cointReg package.