[R] S+Finmetrics cointegration functions

[Pfaff, Bernhard]

> 
> Dear all,
> 
> S+Finmetrics has a number of very specilised functions.  I am 
> particularly interested in the estimation of cointegrated 
> VARs (chapter 
> 12 of Zivot and Wang).  In this context the functions coint() and 
> VECM() stand out.  I looked at package "dse1", but found no 
> comparable 
> functionality.  Are there any other packages you could point 
> me to?  In 
> general, are there efforts for replicating within one package the 
> functionality of S+Finmetrics?  Thank you very much in 
> advance for any 
> guidance.


Dear Ivan,

yesterday, I have uploaded an update of package 'urca' (version 0.3-3). In
this update the Johansen procedure as outlined in:

  Johansen, S. (1988), Statistical Analysis of Cointegration Vectors,
  \emph{Journal of Economic Dynamics and Control}, \bold{12}, 231--254.

  Johansen, S. and Juselius, K. (1990), Maximum Likelihood Estimation and
  Inference on Cointegration -- with Applications to the Demand for
  Money, \emph{Oxford Bulletin of Economics and Statistics}, \bold{52,
    2}, 169--210.

  Johansen, S. (1991), Estimation and Hypothesis Testing of
  Cointegration Vectors in Gaussian Vector Autoregressive Models,
  \emph{Econometrica}, \bold{Vol. 59, No. 6}, 1551--1580.

is implemented. Beside containing the Johansen procedure the data sets used
in Johansen, S. and Juselius, K. (1990) are provided, too, such that you can
directly cross check their results and investigate further. 
Various unit root tests encountered in applied econometrics are also
available in this package; among these are:

1) Elliott, G., Rothenberg, T.J. and Stock, J.H. (1996)
2) Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y., (1992)
3) Phillips, P.C.B. and Perron, P. (1988)
4) Schmidt, P. and Phillips, P.C.B. (1992)
5) Zivot, E. and Andrews, Donald W.K. (1992)
6) Phillips, P.C.B. and Ouliaris, S. (1990)

The package is written in *pure* R and S4 classes are utilised. It is
intended to amend this package by other functionalities in the context of
VECM / cointegration analysis in the near future (e.g. such as impulse
responses, Luetkepohl et al. (2004), "TESTING FOR THE COINTEGRATING RANK OF
A VAR PROCESSWITH LEVEL SHIFT AT UNKNOWN TIME", *Econometrica* Vol. 72 No.
2, 647 -- 662 and the like).

Hopefully this package is of use for you and the econometric oriented R
community as well.

Bernhard


> 
> Best regards,
> 
> _______________________
> Ivan Alves
> mailto://papucho@mac.com
> 
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