## File: xmpDWChapter044.R

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 `12345678910111213141516171819202122232425262728293031323334353637383940414243444546474849505152535455` ``````# # Examples from the forthcoming Monograph: # Rmetrics - Financial Engineering and Computational Finance # written by Diethelm Wuertz # ISBN to be published # # Details: # Chapter 4.4 # Vector ARMA Models and Cointegration # # List of Examples, Exercises and Code Snippets: # # Example: Phillips-Ouliaris Test, Non-Cointegrated Case # Example: Phillips-Ouliaris Test: Cointegrated Case # # *** This list is not yet complete *** # # Author: # (C) 2002-2005, Diethelm Wuertz, GPL # www.rmetrics.org # www.itp.phys.ethz.ch # www.finance.ch # ################################################################################ ### Example: Phillips-Ouliaris Test, Non-Cointegrated Case # Create Series: x = ts(diffinv(matrix(rnorm(2000), 1000, 2))) # Test: tspoTest(x) ### # ------------------------------------------------------------------------------ ### Example: Phillips-Ouliaris Test: Cointegrated Case # Create Series: x = diffinv(rnorm(1000)) y = 2.0 - 3.0*x + rnorm(x, sd = 5) z = ts(cbind(x, y)) # Test: tspoTest(z) ### ################################################################################ ``````