Package: cointmonitoR
Type: Package
Title: Consistent Monitoring of Stationarity and Cointegrating
        Relationships
Date: 2016-06-14
Version: 0.1.0
Authors@R: c(
    person("Philipp", "Aschersleben", role = c("aut", "cre"),
           email = "aschersleben@statistik.tu-dortmund.de"),
    person("Martin", "Wagner", email = "wagner@statistik.tu-dortmund.de",
           role = "aut", comment = "Author of underlying paper."),
    person("Dominik", "Wied", email = "wied@statistik.tu-dortmund.de",
           role = "aut", comment = "Author of underlying paper."))
Description: We propose a consistent monitoring procedure to detect a
    structural change from a cointegrating relationship to a spurious
    relationship. The procedure is based on residuals from modified least
    squares estimation, using either Fully Modified, Dynamic or Integrated
    Modified OLS. It is inspired by Chu et al. (1996) <DOI:10.2307/2171955> in
    that it is based on parameter estimation on a pre-break "calibration" period
    only, rather than being based on sequential estimation over the full sample.
    See the discussion paper <DOI:10.2139/ssrn.2624657> for further information.
    This package provides the monitoring procedures for both the cointegration
    and the stationarity case (while the latter is just a special case of the
    former one) as well as printing and plotting methods for a clear
    presentation of the results.
URL: https://github.com/aschersleben/cointmonitoR
BugReports: https://github.com/aschersleben/cointmonitoR/issues
License: GPL-3
Depends: cointReg (>= 0.2.0)
Imports: stats, graphics, matrixStats (>= 0.14.1)
RoxygenNote: 5.0.1
Suggests: knitr, rmarkdown
VignetteBuilder: knitr
NeedsCompilation: no
Packaged: 2016-06-14 13:52:21 UTC; Aschersleben
Author: Philipp Aschersleben [aut, cre],
  Martin Wagner [aut] (Author of underlying paper.),
  Dominik Wied [aut] (Author of underlying paper.)
Maintainer: Philipp Aschersleben <aschersleben@statistik.tu-dortmund.de>
Repository: CRAN
Date/Publication: 2016-06-14 20:34:46
Built: R 4.6.0; ; 2026-04-27 08:19:24 UTC; unix
