egcm: Engle-Granger Cointegration Models

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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 <matthewcleggphd@gmail.com>
License
GPL-2 | GPL-3
Version
1.0.8

View on CRAN

Man pages

acor
autocorrelation
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

Files in this package

egcm
egcm/TODO
egcm/inst
egcm/inst/CITATION
egcm/tests
egcm/tests/tests.R
egcm/NAMESPACE
egcm/CHANGELOG
egcm/R
egcm/R/unitroot.R
egcm/R/pgff.R
egcm/R/egcm_base.R
egcm/R/egcm_extras.R
egcm/R/egcm.R
egcm/R/init.R
egcm/R/bvr.R
egcm/R/egcm_data.R
egcm/README.md
egcm/MD5
egcm/DESCRIPTION
egcm/man
egcm/man/ur_power.Rd
egcm/man/yegcm.Rd
egcm/man/bvr.test.Rd
egcm/man/pgff.test.Rd
egcm/man/detrend.Rd
egcm/man/egcm.set.default.i1test.Rd
egcm/man/egcm.Rd
egcm/man/acor.Rd
egcm/man/sim.egcm.Rd
egcm/man/rar1.Rd
egcm/man/allpairs.egcm.Rd
egcm/man/rcoint.Rd
egcm/man/egcm-package.Rd