cotrend
Consistent Co-Trending Rank Selection
Implements cointegration/co-trending rank selection algorithm in Guo and Shintani (2013) "Consistent co-trending rank selection when both stochastic and nonlinear deterministic trends are present". The Econometrics Journal 16: 473-483 <doi:10.1111/j.1368-423X.2012.00392.x>. Numbered examples correspond to Feb 2011 preprint <http://www.fas.nus.edu.sg/ecs/events/seminar/seminar-papers/05Apr11.pdf>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.2 |
2026-04-09 windows/windows R-4.5 | cotrend_1.0.2.zip |
30.6 KiB |