cotrend: Consistent Co-Trending Rank Selection

Implements cointegration/co-trending rank selection algorithm in Guo and Shintani (2013) "Consistent co-trending rank selection when both stochastic and nonlinear deterministic trends are present". The Econometrics Journal 16: 473-483 <doi:10.1111/j.1368-423X.2012.00392.x>. Numbered examples correspond to Feb 2011 preprint <http://www.fas.nus.edu.sg/ecs/events/seminar/seminar-papers/05Apr11.pdf>.

Version: 1.0.2
Depends: xts
Published: 2019-10-21
Author: A. Christian Silva
Maintainer: A. Christian Silva <a.christian.silva at gmail.com>
License: GPL-3
NeedsCompilation: no
CRAN checks: cotrend results

Downloads:

Reference manual: cotrend.pdf
Package source: cotrend_1.0.2.tar.gz
Windows binaries: r-devel: cotrend_1.0.2.zip, r-release: cotrend_1.0.2.zip, r-oldrel: cotrend_1.0.2.zip
OS X binaries: r-release: cotrend_1.0.2.tgz, r-oldrel: cotrend_1.0.2.tgz
Old sources: cotrend archive

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