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 |
| DOI: | 10.32614/CRAN.package.cotrend |
| Author: | A. Christian Silva |
| Maintainer: | A. Christian Silva <a.christian.silva at gmail.com> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| CRAN checks: | cotrend results |
| 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 |
| macOS binaries: | r-release (arm64): cotrend_1.0.2.tgz, r-oldrel (arm64): cotrend_1.0.2.tgz, r-release (x86_64): cotrend_1.0.2.tgz, r-oldrel (x86_64): cotrend_1.0.2.tgz |
| Old sources: | cotrend archive |
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