Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/150014 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
FAU Discussion Papers in Economics No. 05/2017
Verlag: 
Friedrich-Alexander-Universität Erlangen-Nürnberg, Institute for Economics, Nürnberg
Zusammenfassung: 
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.
Schlagwörter: 
R software
cointegration
partial cointegration
pairs trading
permanent components
transient components
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
610.64 kB





Publikationen in EconStor sind urheberrechtlich geschützt.