[R-SIG-Finance] Time-Varying Cointegration in R

Johannes Lips johannes.lips at gmail.com
Tue Mar 22 10:14:19 CET 2016

Dear list,

I've implemented the time-varying cointegration framework by Bierens and 
Martins (2010) in R [1], based on the gauss implementation of Luis 
Martins [2]. 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.

[1] https://github.com/hannes101/TimeVaryingCointegration
[2] http://home.iscte-iul.pt/~lfsm/

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