A collection of time series is partially cointegrated if a linear combination of these time series can be found so that the residual spread is partially autoregressive - meaning that it can be represented as a sum of an autoregressive series and a random walk. This concept is useful in modeling certain sets of financial time series and beyond, as it allows for the spread to contain transient and permanent components alike. Partial cointegration has been introduced by Clegg and Krauss (2016) , along with a large-scale empirical application to financial market data. The partialCI package comprises estimation, testing, and simulation routines for partial cointegration models in state space. Clegg et al. (2017) provide an in in-depth discussion of the package functionality as well as illustrating examples in the fields of finance and macroeconomics.

Documentation

Manual: partialCI.pdf
Vignette: A partialCI Guide

Maintainer: Jonas Rende <jonas.rende at fau.de>

Author(s): Matthew Clegg*, Christopher Krauss*, Jonas Rende*

Install package and any missing dependencies by running this line in your R console:

install.packages("partialCI")

Depends partialAR
Imports zoo, parallel, ggplot2, grid, MASS, TTR, data.table, glmnet, methods, Rcpp, FKF
Suggests egcm, knitr, rmarkdown
Enhances
Linking to Rcpp
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Package partialCI
Materials
URL
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Version 1.1.0
Published 2017-04-25
License GPL-2 | GPL-3
BugReports
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks partialCI check results
Package source partialCI_1.1.0.tar.gz