Cointegration tests (Engle-Granger)

Cointegration tests (Engle-Granger)

Usage

cointegration(vintages.view, adfk = 1, na.zero = FALSE)

Arguments

vintages.view

mts object. Vertical or diagonal view of the create_vintages() output

adfk

Number of lags to consider for ADF

na.zero

Boolean whether missing values should be considered as 0 or rather as data not (yet) available (the default).

See also

revision_analysis(), render_report()

Examples

## Simulated data
df_long <- simulate_long(
    n_period = 10L * 4L,
    n_revision = 5L,
    periodicity = 4L,
    start_period = as.Date("2010-01-01")
)

## Create vintage and test
vintages <- create_vintages(df_long, periodicity = 4L)
cointegration(vintages[["diagonal_view"]])
#>                                 value    stderr statistic      pvalue
#> [Release[1]]_[Release[2]] -0.02091603 0.2769183 -3.686705 0.000673496
#> [Release[1]]_[Release[3]] -0.52873404 0.4898209 -3.121006 0.003720798
#> [Release[1]]_[Release[4]] -0.44305990 0.6127227 -2.355160 0.020572873
#> [Release[1]]_[Release[5]]  0.00000000 0.0000000  0.000000 0.000000000
#> [Release[2]]_[Release[3]] -0.12389145 0.4141756 -2.713563 0.009312334
#> [Release[2]]_[Release[4]] -0.56672054 0.6001862 -2.610391 0.011836153
#> [Release[2]]_[Release[5]]  0.00000000 0.0000000  0.000000 0.000000000
#> [Release[3]]_[Release[4]] -0.35917584 0.4103638 -3.312124 0.002525364
#> [Release[3]]_[Release[5]]  0.00000000 0.0000000  0.000000 0.000000000
#> [Release[4]]_[Release[5]]  0.00000000 0.0000000  0.000000 0.000000000