Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/150014
Authors: 
Clegg, Matthew
Krauss, Christopher
Rende, Jonas
Year of Publication: 
2017
Series/Report no.: 
FAU Discussion Papers in Economics 05/2017
Abstract: 
Partial cointegration is a weakening of cointegration, allowing for the residual series to contain a mean-reverting and a random walk component. Analytically, the residual series is described by a partially autoregressive process. The partialCI package provides estimation, testing, and simulation routines for PCI models in state space. We illustrate the functionality with two examples: A financial application in the context of pairs trading and a macroeconomic application, i.e., the relationship between GDP and consumption. For both examples, we show that the variables are not cointegated in the classic sense, but can be modeled with partial cointegration.
Subjects: 
R software
cointegration
partial cointegration
pairs trading
permanent components
transient components
Document Type: 
Working Paper

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