urca

Pfaff/Stigler Unit Root and Cointegration Analysis R package

I recommend the companion book http://www.amazon.com/Analysis-Integrated-Cointegrated-Time-Series/dp/0387759662 that I know you will enjoy.

Warning

This is a work in progress...don't install this package (yet)! Use the one from CRAN. Unless that is, you want to help, then please have at it.

Intention

We're revising the package to enhance some of the numeric computations for stability and efficiency along the lines suggested by Doornik and O'Brien in their superb paper http://www.doornik.com/research/CointNum2_final.pdf.

Our variation will use a generalized SVD. Because Pfaff's package is so comprehensive at handling trends, constants, etc., there are quite a few details to work through but the basic idea looks solid.

We're starting with the ca.jo function first. Eventually, almost everywhere you find the function solve in the source code will include new routines.

We intend to make the new code paths optional to make it easy to compare with the standard Johansen procedure.

Status

No code yet! But my notes are online and that was probably the hard part. See:

• https://github.com/bwlewis/urca/blob/master/notes-1.jpg
• https://github.com/bwlewis/urca/blob/master/notes-2.jpg
• https://github.com/bwlewis/urca/blob/master/notes-3.jpg

Code will follow soon I hope... I say that knowing that these changes are three years late already!