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.
|Author||Matthew Clegg [aut, cre, cph]|
|Date of publication||2015-11-13 08:55:47|
|Maintainer||Matthew Clegg <firstname.lastname@example.org>|
|License||GPL-2 | GPL-3|
allpairs.egcm: Perform cointegration tests for all pairs of securities in a...
bvr.test: Unit root test based upon Breitung's variance ratio
detrend: Remove a linear trend from a vector
egcm: Simplified Engle-Granger Cointegration Model
egcm-package: Simplified Engle-Granger Cointegration Models
egcm.set.default.i1test: Set and get defaults for Engle-Granger cointegration models
pgff.test: Unit root test of Pantula, Gonzales-Farias and Fuller
rar1: Random AR(1) vector
rcoint: Random generation of cointegrated sequences
sim.egcm: Generate simulated data from an Engle-Granger cointegration...
ur_power: Power assessment for unit root tests
yegcm: Engle-Granger cointegration model from Yahoo! price series