cointmonitoR

cranv0.1.0

Consistent Monitoring of Stationarity and Cointegrating Relationships. 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

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aschersleben/cointmonitoR
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First published · 2016-06-14 14:37:22

Last updated · 2016-06-14T20:34:46+00:00