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]] -0.12582375 0.2424696 -4.643154 4.041705e-05
#> [Release[1]]_[Release[3]] -0.06408164 0.2826475 -3.764695 5.920615e-04
#> [Release[1]]_[Release[4]]  0.08319110 0.2897273 -3.164385 2.973170e-03
#> [Release[1]]_[Release[5]]  0.03801312 0.3582191 -2.685471 9.859579e-03
#> [Release[2]]_[Release[3]] -0.47536033 0.3430810 -4.300327 1.465428e-04
#> [Release[2]]_[Release[4]] -0.63819026 0.3433935 -4.770592 5.208893e-05
#> [Release[2]]_[Release[5]] -0.77503054 0.4154311 -4.272743 2.468446e-04
#> [Release[3]]_[Release[4]] -0.11560383 0.2972923 -3.752548 6.792474e-04
#> [Release[3]]_[Release[5]] -0.10114778 0.3923251 -2.806723 7.516262e-03
#> [Release[4]]_[Release[5]] -0.27241659 0.3290415 -3.867039 6.412056e-04