ComT-class {CommonTrend} | R Documentation |
ComT
This class contains several useful objects about the estimated common trends for further manipulations.
method |
Character. Method used to extract the common trends. |
length |
Length of the common trends. It is the length of original series minus lag order. |
lag.chosen |
Lag order. |
beta |
The estimated cointegration vector. |
othog.beta |
The othogonal complement of \bold{β}. |
alpha |
The estimated \bold{α}. |
othog.alpha |
The othogonal complement of \bold{α}. |
common.trend |
The common trends after multiplied with the loading matrix. |
pure.trend |
The ‘pure’ common trends without multiplying with the loading matrix. |
loading.vector |
The loading matrix. |
stationary |
The estimated stationary process. |
data.used |
The orginal data after adjusted with the lag order. Thus it has the same length with the estimated common trends. |
Fan Yang