cointmonitoR: 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 et al. (1996) <doi:10.2307/2171955> in
that it is based on parameter estimation on a pre-break "calibration" period
only, rather than being based on sequential estimation over the full sample.
See the discussion paper <doi:10.2139/ssrn.2624657> for further information.
This package provides the monitoring procedures for both the cointegration
and the stationarity case (while the latter is just a special case of the
former one) as well as printing and plotting methods for a clear
presentation of the results.
Documentation:
Downloads:
Linking:
Please use the canonical form
https://CRAN.R-project.org/package=cointmonitoR
to link to this page.