A Joint Test-Statistic for the Null of Non-Cointegration.

combcoint

Overview

combcoint is an R package which provides, among other things, the combined non-cointegration tests of Bayer and Hanck. The following cointegration tests are implemented:

• bayerhanck() to perform the Combining non-cointegration test which is implemented in two different versions.
• boswijk() performs the structural error correction model cointegration test by Boswijk (1994)
• banerjee() performs the error-correction-based cointregration test by Banerjee (1998)
• englegranger() performs the residual-based cointregration test by Engle and Granger (1987) and is a wrapper for the ur.df of the urca package
• johansen() performs the system-based maximum likelihood cointegration test by Johansen (1988) and is a wrapper function for the rank.test of the tsDyn package. Note that first the transformation to a VECM is needed.

Installation

The development version can be downloaded from GitHub with:

# install.packages("devtools")
devtools::install_github("Janine-Langerbein/combcoint")

Usage

First install the package as described above

# example data from the MTS package 
data("mts-examples", package = "MTS")

bayerhanck(sp ~ ibm + ko, data = ibmspko, lags = 1, trend = "const", test = "all")

banerjee(sp ~ ibm + ko, data = ibmspko, lags = 1, trend = "const")

boswijk(sp ~ ibm + ko, data = ibmspko, lags = 1, trend = "const")

englegranger(sp ~ ibm + ko, data = ibmspko, lags = 1, trend = "const")

johansen(sp ~ ibm + ko, data = ibmspko, type = "eigen", lags = 1, trend = "const")

Reference

Bayer, C. and Hanck, C. (2013). Combining non-cointegration tests. Journal of Time Series Analysis, 34(1), 83 – 95. https://doi.org/10.1111/j.1467-9892.2012.00814.x

Boswijk, H. P. (1994), Testing for an unstable root in conditional and structural error correction models, Journal of Econometrics 63(1), 37-60. https://doi.org/10.1016/0304-4076(93)01560-9

Johansen, S. (1988), Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control 12(2-3), 231-254. https://doi.org/10.1016/0165-1889(88)90041-3

Banerjee, A., Dolado, J. J. and Mestre, R. (1998), Error-correction Mechanism Tests for Cointegration in a Single-equation Framework, Journal of Times Series Analysis 19(3), 267-283. https://doi.org/10.1111/1467-9892.00091

Engle, R. and Granger, C. (1987), Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica 55(2), 251-76. https://doi.org/10.2307/1913236

Please note that this project and package is licensed under the MIT license.