urca: Unit Root and Cointegration Tests for Time Series Data

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

AuthorBernhard Pfaff [aut, cre], Eric Zivot [ctb], Matthieu Stigler [ctb]
Date of publication2016-09-06 23:26:02
MaintainerBernhard Pfaff <bernhard@pfaffikus.de>
LicenseGPL (>= 2)
Version1.3-0

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

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