Package: CommonTrend
Version: 0.7-1
Date: 2011-11-13
Title: Extract and plot common trends from a cointegration system.
        Calculate P-value for Johansen Statistics.
Author: Fan Yang
Maintainer: Fan Yang <yfno1@msn.com>
Depends: R (>= 2.10)
Imports: methods,MASS,urca
Description: Directly extract and plot stochastic common trends from
        a cointegration system using different approaches, currently
        including Kasa (1992) and Gonzalo and Granger (1995). 
	The approach proposed by Gonzalo and Granger, also known as
        Permanent-Transitory Decomposition, is widely used in
        macroeconomics and market microstructure literature. 
	Kasa's approach, on the other hand, has a nice property that it only
        uses the super consistent estimator: the cointegration vector
        'beta'. 
	This package also provides functions calculate P-value
        from Johansen Statistics according to the approximation method
        proposed by Doornik (1998).
	Update:
	0.7-1: Fix bugs in calculation alpha. Add formulas and more explanations.
        0.6-1: Rewrite the description file.
        0.5-1: Add functions to calculate P-value from Johansen statistic, and vice versa.
License: GPL (>= 2)
Packaged: 2013-09-05 17:47:36 UTC; yangguodaxia
Repository: CRAN
Date/Publication: 2013-09-05 20:02:29
NeedsCompilation: no
Built: R 3.1.0; ; 2013-10-24 18:57:42 UTC; unix
