cointmonitoR
Consistent Monitoring of Stationarity and Cointegrating Relationships
Description
We propose a consistent monitoring procedure to detect a structural change from a cointegrating relationship to a spurious relationship. The procedure is based on residuals from modified least squares estimation, using either Fully Modified, Dynamic or Integrated Modified OLS. It is inspired by Chu et al. (1996) <DOI:10.2307/2171955> in that it is based on parameter estimation on a pre-break "calibration" period only, rather than being based on sequential estimation over the full sample. See the discussion paper <DOI:10.2139/ssrn.2624657> for further information. This package provides the monitoring procedures for both the cointegration and the stationarity case (while the latter is just a special case of the former one) as well as printing and plotting methods for a clear presentation of the results.
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| r-devel-linux-x86_64-debian-clang | NOTE |
| r-devel-linux-x86_64-debian-gcc | NOTE |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (14 non-OK)
CRAN incoming feasibility
Maintainer: ‘Philipp Aschersleben <aschersleben@statistik.tu-dortmund.de>’
Found the following URLs which should use \doi (with the DOI name only):
File ‘monitorCointegration.Rd’:
http://dx.doi.org/10.2139/ssrn.2624657
File ‘monitorStationarity.Rd’:
http://dx.doi.org/10.2139/ssrn.2624657
CRAN incoming feasibility
Maintainer: ‘Philipp Aschersleben <aschersleben@statistik.tu-dortmund.de>’
Found the following URLs which should use \doi (with the DOI name only):
File ‘monitorCointegration.Rd’:
http://dx.doi.org/10.2139/ssrn.2624657
File ‘monitorStationarity.Rd’:
http://dx.doi.org/10.2139/ssrn.2624657
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Check History
NOTE 12 OK · 2 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
CRAN incoming feasibility
Maintainer: ‘Philipp Aschersleben <aschersleben@statistik.tu-dortmund.de>’
Found the following URLs which should use \doi (with the DOI name only):
File ‘monitorCointegration.Rd’:
http://dx.doi.org/10.2139/ssrn.2624657
File ‘monitorStationarity.Rd’:
http://dx.doi.org/10.2139/ssrn.2624657
CRAN incoming feasibility
Maintainer: ‘Philipp Aschersleben <aschersleben@statistik.tu-dortmund.de>’
Found the following URLs which should use \doi (with the DOI name only):
File ‘monitorCointegration.Rd’:
http://dx.doi.org/10.2139/ssrn.2624657
File ‘monitorStationarity.Rd’:
http://dx.doi.org/10.2139/ssrn.2624657