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.

Install the latest version of this package by entering the following in R:
install.packages("egcm")
AuthorMatthew Clegg [aut, cre, cph]
Date of publication2015-11-13 08:55:47
MaintainerMatthew Clegg <matthewcleggphd@gmail.com>
LicenseGPL-2 | GPL-3
Version1.0.8

View on CRAN

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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