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partialCI: An R package for the analysis of partially cointegrated time series

Listed author(s):
  • Clegg, Matthew
  • Krauss, Christopher
  • Rende, Jonas
Registered author(s):

    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.

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    File URL: https://www.econstor.eu/bitstream/10419/150014/1/880195347.pdf
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    Paper provided by Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics in its series FAU Discussion Papers in Economics with number 05/2017.

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    Date of creation: 2017
    Handle: RePEc:zbw:iwqwdp:052017
    Contact details of provider: Web page: https://www.iwf.rw.fau.de/

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