Johansen Cointegration Test with Fourier-Type Smooth Nonlinear
Trends
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Documentation for package ‘fjohansen’ version 0.1.0
Help Pages
| fjohansen-package | fjohansen: Johansen Cointegration Test with Fourier-Type Smooth Nonlinear Trends |
| build_design_matrices | Build Z0, Z1, Z2 design matrices for the reduced-rank regression |
| clear_jf_cache | Clear the in-memory simulation cache. |
| CNR_TABLE_B1 | Approximate limit quantiles for the CNR model (Table B1 of Kurita & Shintani 2025). |
| fjohansen | fjohansen: Johansen Cointegration Test with Fourier-Type Smooth Nonlinear Trends |
| format_trace_html | Publication-quality table formatters for the trace test |
| format_trace_latex | Publication-quality table formatters for the trace test |
| format_trace_table | Publication-quality table formatters for the trace test |
| fourier_basis | Build the Fourier deterministic basis |
| generate_f_dgp1 | Data-generating processes from Section 5 of Kurita & Shintani (2025) |
| generate_f_dgp2 | Data-generating processes from Section 5 of Kurita & Shintani (2025) |
| generate_nf_dgp1 | Data-generating processes from Section 5 of Kurita & Shintani (2025) |
| generate_nf_dgp2 | Data-generating processes from Section 5 of Kurita & Shintani (2025) |
| generate_nf_dgp3 | Data-generating processes from Section 5 of Kurita & Shintani (2025) |
| generate_nf_dgp4 | Data-generating processes from Section 5 of Kurita & Shintani (2025) |
| jf_dgps | Data-generating processes from Section 5 of Kurita & Shintani (2025) |
| jf_moments | Mean and variance of the limit distribution |
| jf_p_value | Gamma-approximation p-value of an observed trace statistic |
| jf_quantile | Quantile of the limit distribution |
| jf_tables | Publication-quality table formatters for the trace test |
| johansen_fourier | Johansen-Fourier cointegration test |
| model_specs | Model specifications used by 'johansen_fourier' |
| plot_eigenvalues | Bar plot of the Johansen eigenvalues |
| plot_limit_density | Plot the limit-distribution density (paper's Figs. 1-2) |
| plot_long_run | Plot estimated cointegrating relations |
| plot_residual_diagnostics | Residual diagnostics (paper's Fig. 12) |
| plot_risk_premium | Implied risk-premium decomposition (paper's Fig. 13) |
| plot_series | Plot a (T x p) data set as multi-panel time series (Fig. 11 of the paper) |
| psy_wald_test | Perron-Shintani-Yabu (2021) FGLS Wald test |
| sample_jgb_data | Synthetic JGB-yield surrogate (Section 6 illustration) |
| select_frequencies | Frequency selection for a multivariate panel |
| select_frequencies_univariate | General-to-specific frequency selection for a univariate series |
| set_paper_theme | Apply the paper-style ggplot2 theme (sunny palette) |
| simulate_limit_distribution | Simulate the limiting Johansen-Fourier trace distribution |
| simulate_limit_moments | Simulate moments of the limiting distribution |