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]] -0.15784481 0.2616556 -4.425071 9.381539e-05
#> [Release[1]]_[Release[3]]  0.15110482 0.2752255 -3.084362 3.579184e-03
#> [Release[1]]_[Release[4]] -0.02379187 0.3859703 -2.652514 1.065758e-02
#> [Release[1]]_[Release[5]]  0.06875468 0.2945444 -3.161647 3.534476e-03
#> [Release[2]]_[Release[3]] -0.08090398 0.2722232 -3.970654 3.798906e-04
#> [Release[2]]_[Release[4]] -0.45645464 0.3425513 -4.251786 2.691065e-04
#> [Release[2]]_[Release[5]] -0.35415901 0.4220626 -3.208432 3.184585e-03
#> [Release[3]]_[Release[4]]  0.21920701 0.3756054 -2.078759 3.774495e-02
#> [Release[3]]_[Release[5]] -0.69976276 0.5176505 -3.283611 2.692004e-03
#> [Release[4]]_[Release[5]] -0.49961153 0.5161289 -2.905498 6.226192e-03