Re: [R] Seasonal Cointegration

2016-03-02 Thread John C Frain
tRY HEGY.test() in R package pdr. John C Frain 3 Aranleigh Park Rathfarnham Dublin 14 Ireland www.tcd.ie/Economics/staff/frainj/home.html mailto:fra...@tcd.ie mailto:fra...@gmail.com On 29 February 2016 at 19:14, Sarah Goslee wrote: > Checking Rseek.org turns up this

Re: [R] Seasonal Cointegration

2016-02-29 Thread Sarah Goslee
Checking Rseek.org turns up this discussion thread: http://blog.gmane.org/gmane.comp.lang.r.r-metrics/month=20130601 which talks about the lack of that method in R. Sarah On Mon, Feb 29, 2016 at 2:08 PM, Rafael Costa wrote: > Dear R users, > > Where can I find

[R] Seasonal Cointegration

2016-02-29 Thread Rafael Costa
Dear R users, Where can I find the codes to Seasonal Coitegration tests (known as EGHL test)? This test was presented on paper “Seasonal Cointegration: The Japanese Consumption Function.” (Engle, R.F., C.W.J. Granger, S. Hylleberg, and H.S. Lee; 1993). I am looking forward any help. Thanks in