egcm: Engle-Granger Cointegration Models

An easy-to-use implementation of the Engle-Granger two-step procedure for identifying pairs of cointegrated series. It is geared towards the analysis of pairs of securities. Summary and plot functions are provided, and the package is able to fetch closing prices of securities from Yahoo. A variety of unit root tests are supported, and an improved unit root test is included.

Package details

AuthorMatthew Clegg [aut, cre, cph]
MaintainerMatthew Clegg <[email protected]>
LicenseGPL-2 | GPL-3
Package repositoryView on CRAN
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egcm documentation built on Sept. 18, 2017, 5:03 p.m.