[R-SIG-Finance] Time-Varying Cointegration in R
johannes.lips at gmail.com
Tue Mar 22 10:14:19 CET 2016
I've implemented the time-varying cointegration framework by Bierens and
Martins (2010) in R , based on the gauss implementation of Luis
Martins . I do get the same results as in gauss, when using lower
chebyshev dimensions, but when the number of dimensions is increasing, I
run into issues with complex eigenvalues and eigenvectors.
Additionally the eigenvalues and eigenvectors differ quite a bit between
gauss and R and I do not really know how to find out why that is. I also
experimented with different implementations of eigenvalues
determination, based on the C++ routine eigen, but was not able to
replicate the gauss results exactly.
One notable difference is that gauss does not normalize the
eigenvectors, but even after considering this a discrepancy remains.
Perhaps someone with a better knowledge of gauss may shed some light on
possible sources for these differences.
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