This repository contains R-codes for Fourier Fully Modified OLS (FFOLS) analysis 1 R-codes for data generation (Four scenarios, 1. Cointegration (AR=0), 2 Weak cointegration (AR=0.8), 3. Very weak cointegration (AR=0.95) and no cointegration (AR=1.0) 2 R-codes for Fully-modified OLS (FMOS) analysis with function of cointRegFM) 3 R-codes for Fully-modified OLS (FMOS) analysis with manual calculation 4 R-codes for Fourier Fully-modified OLS (FFMOS) analysis with function of cointRegFM) 5 R-codes for Fourier Fully-modified OLS (FFMOS) analysis with manual calculation 6 R-codes for simulation of Fourier Fully-modified OLS (FFMOS) analysis with manual calculation 7 R-codes for simulation of five difference function(OLS, DOLS, Fourier_DOLS, FMOLS, Fourier_FMOLS) Four more codes for four different function (DOLS, Fourier_DOLS, FMOLS, Fourier_FMOLS) R-codes for DOLS analysis (dols_methods) R-codes for FMOLS analysis (fmols_methods) R-codes for Fourier DOLS analysis (fourier_dols_methods) R-codes for Fourier FMOLS analysis (fourier_fmols_methods)
nonlinear-lab/fourier-fully-modified-ols-analysis
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