cotrend (1.0.2)

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 . Numbered examples correspond to Feb 2011 preprint .

Maintainer: A. Christian Silva
Author(s): A. Christian Silva

License: GPL-3

Uses: xts

Released about 1 month ago.