Clegg, Matthew; Krauss, Christopher; Rende, Jonas - In: Essays on financial time series analysis, (pp. 13-45). 2019
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...
