The hardware and bandwidth for this mirror is donated by METANET, the Webhosting and Full Service-Cloud Provider.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]metanet.ch.
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 packagejohansen() 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.The development version can be downloaded from GitHub with:
# install.packages("devtools")
devtools::install_github("Janine-Langerbein/combcoint")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")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.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.