Arbeitspapier
partialCI: An R package for the analysis of partially cointegrated time series
Partial cointegration is a weakening of cointegration, allowing for the residual series to contain a mean-reverting and a random walk component. Analytically, the residual series is described by a partially autoregressive process. The partialCI package provides estimation, testing, and simulation routines for PCI models in state space. We illustrate the functionality with two examples: A financial application in the context of pairs trading and a macroeconomic application, i.e., the relationship between GDP and consumption. For both examples, we show that the variables are not cointegated in the classic sense, but can be modeled with partial cointegration.
- Language
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Englisch
- Bibliographic citation
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Series: FAU Discussion Papers in Economics ; No. 05/2017
- Classification
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Wirtschaft
- Subject
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R software
cointegration
partial cointegration
pairs trading
permanent components
transient components
- Event
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Geistige Schöpfung
- (who)
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Clegg, Matthew
Krauss, Christopher
Rende, Jonas
- Event
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Veröffentlichung
- (who)
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Friedrich-Alexander-Universität Erlangen-Nürnberg, Institute for Economics
- (where)
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Nürnberg
- (when)
-
2017
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Clegg, Matthew
- Krauss, Christopher
- Rende, Jonas
- Friedrich-Alexander-Universität Erlangen-Nürnberg, Institute for Economics
Time of origin
- 2017
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Package Supplements
Package design
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