Kasa.ComT {CommonTrend} | R Documentation |
Extract Common Trend(s) from a cointegration system according to Kasa(1992). Loading Matrix and Othogonal Complement of α and β are also reported.
Kasa.ComT(data, rank, k)
data |
Data used to construct the cointegration system |
rank |
Number of cointegration vectors specified |
k |
Lag order in VECM |
For all the details, functions and its differences with the method proposed by Gonzalo and Granger, see GG.ComT
.
An object of class ComT
.
Fan Yang
Kasa, K., 1992. Common stochastic trends in international stock markets, Journal of Monetary Economics 29, 95-124.
Gonzalo, J., and C. Granger, 1995. Estimation of Common Long-Memory Components in Cointegrated Systems, Journal of Business & Economic Statistics 13, 27-35.
data(benchmark) x=seq(1,6689,by=23) ## monthly data global=data.frame(benchmark[x,2:4]) Kasa.ComT (global,2,4) ## Plot the Common Trend K=GG.ComT (global,2,4) Date=benchmark[x,1] plotComT(K,1,x.axis=Date,approx.ticks=12, legend=c("S&P 500 Price index", "Common Trend"), main="Extract Common Trend(s) from Benchmark Markets", ylab="Price", xlab="Time" )