urca: Unit Root and Cointegration Tests for Time Series Data

Unit root and cointegration tests encountered in applied econometric analysis are implemented.

Author
Bernhard Pfaff [aut, cre], Eric Zivot [ctb], Matthieu Stigler [ctb]
Date of publication
2016-09-06 23:26:02
Maintainer
Bernhard Pfaff <bernhard@pfaffikus.de>
License
GPL (>= 2)
Version
1.3-0

View on CRAN

Man pages

ablrtest
Likelihood ratio test for restrictions on alpha and beta
alphaols
OLS regression of VECM weighting matrix
alrtest
Likelihood ratio test for restrictions on alpha
bh5lrtest
Likelihood ratio test for restrictions under partly known...
bh6lrtest
Likelihood ratio test for restrictions under partly known...
blrtest
Likelihood ratio test for restrictions on beta
ca.jo
Johansen Procedure for VAR
ca.jo-class
Representation of class ca.jo
cajolst
Testing Cointegrating Rank with Level Shift at Unknown time
cajools
OLS regression of VECM
cajorls
OLS regression of VECM
cajo.test-class
Representation of class cajo.test
ca.po
Phillips & Ouliaris Cointegration Test
ca.po-class
Representation of class ca.po
Denmark
Data set for Denmark, Johansen & Juselius (1990)
ECB
Macroeconomic data of the Euro Zone
Finland
Data set for Finland, Johansen & Juseliues (1990)
lttest
Likelihood ratio test for no linear trend in VAR
MacKinnonPValues
MacKinnon's Unit Root p Values
NPEXT
Nelson & Plosser extended data set
NPORG
Nelson & Plosser original data set
plot-methods
Methods for Function plot in Package urca
plotres
Graphical inspection of VECM residuals
Raotbl1
Data set used by Dickey, Jansen & Thornton (1994)
Raotbl2
Data set used by Dickey, Jansen & Thornton (1994)
Raotbl3
Data set used by Holden and Perman (1994)
Raotbl4
Data set used by Pierre Perron (1994)
Raotbl5
Data set used by Pierre Perron (1994)
Raotbl6
Data set used by Yash P. Mehra (1994)
Raotbl7
Data set used by Glenn Otto (1994)
show-methods
Methods for Function show in Package 'urca'
show.urca
Function to show objects of classes for unit root tests
summary-methods
Methods for Function summary in Package 'urca'
sumurca-class
Representation of class sumurca
UKconinc
Data set for the United Kingdom
UKconsumption
Data set for the United Kingdom
UKpppuip
Data set for the United Kingdom: ppp and uip
urca-class
Class 'urca'. Parent of classes in package 'urca'
urca-internal
Critical values for Schmidt & Phillips Unit Root Test
ur.df
Augmented-Dickey-Fuller Unit Root Test
ur.df-class
Representation of class ur.df
ur.ers
Elliott, Rothenberg & Stock Unit Root Test
ur.ers-class
Representation of class ur.ers
ur.kpss
Kwiatkowski et al. Unit Root Test
ur.kpss-class
Representation of class ur.kpss
ur.pp
Phillips & Perron Unit Root Test
ur.pp-class
Representation of class ur.pp
ur.sp
Schmidt & Phillips Unit Root Test
ur.sp-class
Representation of class ur.sp
ur.za
Zivot & Andrews Unit Root Test
ur.za-class
Representation of class ur.za

Files in this package

urca
urca/inst
urca/inst/Licenses
urca/inst/Licenses/MacKinnonLicense.txt
urca/inst/Licenses/License
urca/inst/CITATION
urca/inst/book-ex
urca/inst/book-ex/Rcode-2-3.R
urca/inst/book-ex/ex2.tar.gz
urca/inst/book-ex/Rcode-2-9.R
urca/inst/book-ex/Rcode-1-3.R
urca/inst/book-ex/Rcode-5-3.R
urca/inst/book-ex/Rcode-2-8.R
urca/inst/book-ex/Rcode-8-16.R
urca/inst/book-ex/Rcode-1-1.R
urca/inst/book-ex/Rcode-2-2.R
urca/inst/book-ex/Rcode-2-10.R
urca/inst/book-ex/Rcode-8-10.R
urca/inst/book-ex/Rcode-1-2.R
urca/inst/book-ex/Rcode-5-5.R
urca/inst/book-ex/Rcode-2-7.R
urca/inst/book-ex/Rcode-7-3.R
urca/inst/book-ex/Rcode-8-6.R
urca/inst/book-ex/Rcode-1-4.R
urca/inst/book-ex/Rcode-8-13.R
urca/inst/book-ex/Rcode-4-1.R
urca/inst/book-ex/Rcode-5-1.R
urca/inst/book-ex/Rcode-2-4.R
urca/inst/book-ex/Rcode-6-2.R
urca/inst/book-ex/Rcode-8-15.R
urca/inst/book-ex/Rcode-8-2.R
urca/inst/book-ex/Rcode-2-5.R
urca/inst/book-ex/Rcode-8-14.R
urca/inst/book-ex/Rcode-4-4.R
urca/inst/book-ex/Rcode-5-2.R
urca/inst/book-ex/Rcode-8-8.R
urca/inst/book-ex/Rcode-8-3.R
urca/inst/book-ex/Rcode-5-4.R
urca/inst/book-ex/Rcode-6-3.R
urca/inst/book-ex/Rcode-7-2.R
urca/inst/book-ex/Rcode-8-7.R
urca/inst/book-ex/Rcode-8-1.R
urca/inst/book-ex/Rcode-7-1.R
urca/inst/book-ex/Rcode-8-5.R
urca/inst/book-ex/Rcode-2-1.R
urca/inst/book-ex/Rcode-4-3.R
urca/inst/book-ex/Rcode-8-4.R
urca/inst/book-ex/Rcode-8-17.R
urca/inst/book-ex/Rcode-4-2.R
urca/inst/book-ex/Rcode-2-6.R
urca/inst/book-ex/Rcode-3-2.R
urca/inst/book-ex/Rcode-8-11.R
urca/inst/book-ex/Rcode-6-1.R
urca/inst/book-ex/Rcode-8-9.R
urca/inst/book-ex/Rcode-3-4.R
urca/inst/book-ex/Rcode-8-12.R
urca/inst/book-ex/Rcode-2-11.R
urca/inst/book-ex/Rcode-3-3.R
urca/inst/book-ex/Rcode-3-1.R
urca/inst/ChangeLog
urca/inst/Rcmdr
urca/inst/Rcmdr/README
urca/inst/Rcmdr/Rcmdr-urca.R
urca/inst/Rcmdr/Rcmdr-menus.txt
urca/src
urca/src/Makevars
urca/src/UnitRootMacKinnon.f
urca/NAMESPACE
urca/data
urca/data/Raotbl6.rda
urca/data/Raotbl2.rda
urca/data/Raotbl5.rda
urca/data/nporg.rda
urca/data/Raotbl7.rda
urca/data/Raotbl1.rda
urca/data/Raotbl3.rda
urca/data/UKpppuip.rda
urca/data/UKconsumption.rda
urca/data/ecb.rda
urca/data/UKconinc.rda
urca/data/Raotbl4.rda
urca/data/npext.rda
urca/data/finland.rda
urca/data/denmark.rda
urca/R
urca/R/bh6lrtest.R
urca/R/ablrtest.R
urca/R/alrtest.R
urca/R/lttest.R
urca/R/methods-plot.R
urca/R/cajorls.R
urca/R/ur-za.R
urca/R/ur-pp.R
urca/R/bh5lrtest.R
urca/R/alphaols.R
urca/R/All-classes.R
urca/R/cajools.R
urca/R/methods-summary.R
urca/R/internal.R
urca/R/methods-show.R
urca/R/plotres.R
urca/R/ur-ers.R
urca/R/ca-po.R
urca/R/blrtest.R
urca/R/ca-jo.R
urca/R/ur-sp.R
urca/R/cajolst.R
urca/R/ur-df.R
urca/R/ur-kpss.R
urca/R/MacKinnonPValues.R
urca/MD5
urca/DESCRIPTION
urca/man
urca/man/summary-methods.Rd
urca/man/Raotbl5.Rd
urca/man/ur.pp-class.Rd
urca/man/MacKinnonPValues.Rd
urca/man/ECB.Rd
urca/man/ca.po-class.Rd
urca/man/plot-methods.Rd
urca/man/urca-class.Rd
urca/man/Raotbl1.Rd
urca/man/Raotbl3.Rd
urca/man/alrtest.Rd
urca/man/ca.jo-class.Rd
urca/man/Raotbl2.Rd
urca/man/Denmark.Rd
urca/man/ur.kpss.Rd
urca/man/ur.za-class.Rd
urca/man/ur.sp-class.Rd
urca/man/lttest.Rd
urca/man/ur.df.Rd
urca/man/ur.pp.Rd
urca/man/UKconsumption.Rd
urca/man/UKconinc.Rd
urca/man/Raotbl6.Rd
urca/man/show.urca.Rd
urca/man/urca-internal.Rd
urca/man/ur.ers.Rd
urca/man/ur.kpss-class.Rd
urca/man/cajorls.Rd
urca/man/Finland.Rd
urca/man/ablrtest.Rd
urca/man/ur.za.Rd
urca/man/UKpppuip.Rd
urca/man/blrtest.Rd
urca/man/plotres.Rd
urca/man/NPEXT.Rd
urca/man/bh5lrtest.Rd
urca/man/ur.sp.Rd
urca/man/Raotbl4.Rd
urca/man/cajo.test-class.Rd
urca/man/alphaols.Rd
urca/man/sumurca-class.Rd
urca/man/cajools.Rd
urca/man/ur.df-class.Rd
urca/man/ca.jo.Rd
urca/man/cajolst.Rd
urca/man/ca.po.Rd
urca/man/NPORG.Rd
urca/man/bh6lrtest.Rd
urca/man/show-methods.Rd
urca/man/Raotbl7.Rd
urca/man/ur.ers-class.Rd