Dear all,
Two weeks ago I asked for code to do cointegration and vector error
correction in relation to financial time series. I received several
requests for a summary of replies on this, but unfortunately I have very
little to report back to the list.
The only reply I received was from Randy Norsworthy who wrote:
"TSP has both. I don't know of such in S+."
I also understand VEC is available in the program Eviews.
This appears to be something that people in the Financial world use
regularly, but which is lacking in S-PLUS. Would it be hard to
implement? Any takers? :-)
Cheers,
Willem
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