Consistent Monitoring of Stationarity and Cointegrating Relationships.
cointmonitoR
Consistent Monitoring of Stationarity and Cointegrating Relationships.
- Installation (including latest CRAN version of
cointReg)
install.packages("cointReg")
devtools::install_github("aschersleben/cointmonitoR", build_vignettes = TRUE)
library("cointmonitoR")
- Simple example (stationarity, structural break):
set.seed(1909)
eps <- rnorm(200)
x <- c(eps[1:100], cumsum(eps[101:200]) / 2)
test <- monitorStationarity(x, m = 93)
print(test)
oldpar <- par(mfrow = c(2, 1))
plot(test, what = "both", legend = FALSE)
par(oldpar)
- Package vignette: Provides further examples and explanations.
vignette("cointmonitoR")
- Package help page: Overview of all available functions:
package?cointmonitoR
Installation of the current development version from GitHub:
devtools::install_github("aschersleben/cointmonitoR", build_vignettes = TRUE)
Theoretical background
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) 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 for further information.
This package provides the monitoring procedures for both the cointegration and the stationarity case (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.
References
Aschersleben, P. and M. Wagner (2016). cointReg: Parameter Estimation and Inference in a Cointegrating Regression. R package version 0.2.0. https://CRAN.R-project.org/package=cointReg
Chu, C.J., M. Stinchcombe and H. White (1996): "Monitoring Structural Change", Econometrica, 64, 1045--1065, DOI:10.2307/2297912.
Wagner, M. and D. Wied (2015): "Monitoring Stationarity and Cointegration," Discussion Paper, DOI:10.2139/ssrn.2624657