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cointReg

Estimation and Inference for cointegrating regressions

Description

Computes either the Phillips and Hansen (1990) Fully Modified OLS estimator, or the Saikkonen (1990) Dynamic OLS estimator, or the Vogelsang and Wagner (2014) Integrated Modified OLS estimator.

Usage

cointReg(method = c("FM", "D", "IM"), x, y, ...)

Arguments

method

[character(1)]
Select the method for the estimation of your cointegration model:

x

[numeric | matrix | data.frame]
RHS variables on which to apply the model estimation.
y

[numeric | matrix | data.frame]
LHS variable(s) on which to apply the model estimation. Usually one-dimensional, but a matrix or data.frame with more than one column is also possible (only for FM-OLS).
...

[any]
Arguments passed to the corresponding cointReg function, like:

  • x, y, deter: data to include in the model

  • kernel, bandwidth: parameters for calculating the long-run variance

  • n.lead, n.lag, kmax, info.crit: D-OLS specific arguments.

  • selector, t.test: IM-OLS specific arguments.

  • check: Wheather to check (and if necessary convert) the arguments. See checkVars for further information.

Value

[cointReg] object.

References

  • Phillips, P.C.B. and B. Hansen (1990): "Statistical Inference in Instrumental Variables Regression with I(1) Processes," Review of Economic Studies, 57, 99–125, DOI:10.2307/2297545.

  • Phillips, P.C.B. and M. Loretan (1991): "Estimating Long Run Economic Equilibria," Review of Economic Studies, 58, 407–436, DOI:10.2307/2298004.

  • Saikkonen, P. (1991): "Asymptotically Efficient Estimation of Cointegrating Regressions," Econometric Theory, 7, 1–21, DOI:10.1017/S0266466600004217.

  • Stock, J.H. and M.W. Watson (1993): "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, 61, 783–820, DOI:10.2307/2951763.

  • Vogelsang, T.J. and M. Wagner (2014): "Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions," Journal of Econometrics, 148, 741–760, DOI:10.1016/j.jeconom.2013.10.015.

See Also

Examples

set.seed(1909)
x1 = cumsum(rnorm(100, mean = 0.05, sd = 0.1))
x2 = cumsum(rnorm(100, sd = 0.1)) + 1
x3 = cumsum(rnorm(100, sd = 0.2)) + 2
x = cbind(x1, x2, x3)
y = x1 + x2 + x3 + rnorm(100, sd = 0.2) + 1
deter = cbind(level = 1, trend = 1:100)
cointReg("FM", x = x, y = y, deter = deter, kernel = "ba",
         bandwidth = "and")

# Compare the results of all three models:
res = sapply(c("FM", "D", "IM"), cointReg, x = x, y = y, deter = deter)
do.call(cbind, lapply(res, "[[", "theta"))
cointReg

Parameter Estimation and Inference in a Cointegrating Regression

v0.2.0
GPL-3
Authors
Philipp Aschersleben [aut, cre], Martin Wagner [aut] (Author of underlying MATLAB code.)
Initial release
2016-06-14

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