Description

Parameter Estimation and Inference in a Cointegrating Regression

Details

See the vignette:
vignette("cointReg")

See the DESCRIPTION:
help(package = cointReg)

See the README:
https://github.com/aschersleben/cointReg/blob/master/README.md

Open the package documentation page:
package?cointReg

Further information and bug reporting:
https://github.com/aschersleben/cointReg

Functions

• cointReg(method = c("FM", "D", "IM"), ...)
  General function to estimate parameters of the given model. Three methods are possible; they can be choosen directly by using one of the following functions:

  • cointRegFM: Fully Modified OLS

  • cointRegD: Dynamic OLS

  • cointRegIM: Integrated Modified OLS

• print
  Print clear results.

• plot
  Plot the residuals of a cointReg model.

• Helper functions:

  • Checking inputs and arguments:
    checkObject, checkVars

  • Calculation of bandwidth and long run variance:
    getBandwidth, getBandwidthAnd, getBandwidthNW
getLongRunVar, getLongRunWeights

  • Additional D-OLS functions:
    getLeadLag, makeLeadLagMatrix, getModD, checkDoptions