urca: Unit Root and Cointegration Tests for Time Series Data
Version 1.3-0

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

Browse man pages Browse package API and functions Browse package files

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
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("urca")

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

Functions

.spcv Man page
MacKinnonPValues Man page
Raotbl1 Man page
Raotbl2 Man page
Raotbl3 Man page
Raotbl4 Man page
Raotbl5 Man page
Raotbl6 Man page
Raotbl7 Man page
UKconinc Man page
UKconsumption Man page
UKpppuip Man page
ablrtest Man page Source code
alphaols Man page Source code
alrtest Man page Source code
bh5lrtest Man page Source code
bh6lrtest Man page Source code
blrtest Man page Source code
ca.jo Man page Source code
ca.jo-class Man page
ca.po Man page Source code
ca.po-class Man page
cajo.test-class Man page
cajolst Man page Source code
cajools Man page Source code
cajorls Man page Source code
denmark Man page
ecb Man page
finland Man page
lttest Man page Source code
npext Man page
nporg Man page
plot Man page
plot,ca.jo,missing-method Man page
plot,ca.po,missing-method Man page
plot,ur.df,missing-method Man page
plot,ur.ers,missing-method Man page
plot,ur.kpss,missing-method Man page
plot,ur.pp,missing-method Man page
plot,ur.sp,missing-method Man page
plot,ur.za,missing-method Man page
plot-methods Man page
plotres Man page Source code
punitroot Man page
qunitroot Man page
show Man page
show,ca.jo-method Man page
show,ca.po-method Man page
show,cajo.test-method Man page
show,sumurca-method Man page
show,ur.df-method Man page
show,ur.ers-method Man page
show,ur.kpss-method Man page
show,ur.pp-method Man page
show,ur.sp-method Man page
show,ur.za-method Man page
show-methods Man page
show.urca Man page Source code
spcv Source code
strsplitUrcval Source code
summary Man page
summary,ca.jo-method Man page
summary,ca.po-method Man page
summary,cajo.test-method Man page
summary,ur.df-method Man page
summary,ur.ers-method Man page
summary,ur.kpss-method Man page
summary,ur.pp-method Man page
summary,ur.sp-method Man page
summary,ur.za-method Man page
summary-methods Man page
sumurca-class Man page
unitrootTable Man page
ur.df Man page Source code
ur.df-class Man page
ur.ers Man page Source code
ur.ers-class Man page
ur.kpss Man page Source code
ur.kpss-class Man page
ur.pp Man page Source code
ur.pp-class Man page
ur.sp Man page Source code
ur.sp-class Man page
ur.za Man page Source code
ur.za-class Man page
urca-class Man page

Files

inst
inst/Licenses
inst/Licenses/MacKinnonLicense.txt
inst/Licenses/License
inst/CITATION
inst/book-ex
inst/book-ex/Rcode-2-3.R
inst/book-ex/ex2.tar.gz
inst/book-ex/Rcode-2-9.R
inst/book-ex/Rcode-1-3.R
inst/book-ex/Rcode-5-3.R
inst/book-ex/Rcode-2-8.R
inst/book-ex/Rcode-8-16.R
inst/book-ex/Rcode-1-1.R
inst/book-ex/Rcode-2-2.R
inst/book-ex/Rcode-2-10.R
inst/book-ex/Rcode-8-10.R
inst/book-ex/Rcode-1-2.R
inst/book-ex/Rcode-5-5.R
inst/book-ex/Rcode-2-7.R
inst/book-ex/Rcode-7-3.R
inst/book-ex/Rcode-8-6.R
inst/book-ex/Rcode-1-4.R
inst/book-ex/Rcode-8-13.R
inst/book-ex/Rcode-4-1.R
inst/book-ex/Rcode-5-1.R
inst/book-ex/Rcode-2-4.R
inst/book-ex/Rcode-6-2.R
inst/book-ex/Rcode-8-15.R
inst/book-ex/Rcode-8-2.R
inst/book-ex/Rcode-2-5.R
inst/book-ex/Rcode-8-14.R
inst/book-ex/Rcode-4-4.R
inst/book-ex/Rcode-5-2.R
inst/book-ex/Rcode-8-8.R
inst/book-ex/Rcode-8-3.R
inst/book-ex/Rcode-5-4.R
inst/book-ex/Rcode-6-3.R
inst/book-ex/Rcode-7-2.R
inst/book-ex/Rcode-8-7.R
inst/book-ex/Rcode-8-1.R
inst/book-ex/Rcode-7-1.R
inst/book-ex/Rcode-8-5.R
inst/book-ex/Rcode-2-1.R
inst/book-ex/Rcode-4-3.R
inst/book-ex/Rcode-8-4.R
inst/book-ex/Rcode-8-17.R
inst/book-ex/Rcode-4-2.R
inst/book-ex/Rcode-2-6.R
inst/book-ex/Rcode-3-2.R
inst/book-ex/Rcode-8-11.R
inst/book-ex/Rcode-6-1.R
inst/book-ex/Rcode-8-9.R
inst/book-ex/Rcode-3-4.R
inst/book-ex/Rcode-8-12.R
inst/book-ex/Rcode-2-11.R
inst/book-ex/Rcode-3-3.R
inst/book-ex/Rcode-3-1.R
inst/ChangeLog
inst/Rcmdr
inst/Rcmdr/README
inst/Rcmdr/Rcmdr-urca.R
inst/Rcmdr/Rcmdr-menus.txt
src
src/Makevars
src/UnitRootMacKinnon.f
NAMESPACE
data
data/Raotbl6.rda
data/Raotbl2.rda
data/Raotbl5.rda
data/nporg.rda
data/Raotbl7.rda
data/Raotbl1.rda
data/Raotbl3.rda
data/UKpppuip.rda
data/UKconsumption.rda
data/ecb.rda
data/UKconinc.rda
data/Raotbl4.rda
data/npext.rda
data/finland.rda
data/denmark.rda
R
R/bh6lrtest.R
R/ablrtest.R
R/alrtest.R
R/lttest.R
R/methods-plot.R
R/cajorls.R
R/ur-za.R
R/ur-pp.R
R/bh5lrtest.R
R/alphaols.R
R/All-classes.R
R/cajools.R
R/methods-summary.R
R/internal.R
R/methods-show.R
R/plotres.R
R/ur-ers.R
R/ca-po.R
R/blrtest.R
R/ca-jo.R
R/ur-sp.R
R/cajolst.R
R/ur-df.R
R/ur-kpss.R
R/MacKinnonPValues.R
MD5
DESCRIPTION
man
man/summary-methods.Rd
man/Raotbl5.Rd
man/ur.pp-class.Rd
man/MacKinnonPValues.Rd
man/ECB.Rd
man/ca.po-class.Rd
man/plot-methods.Rd
man/urca-class.Rd
man/Raotbl1.Rd
man/Raotbl3.Rd
man/alrtest.Rd
man/ca.jo-class.Rd
man/Raotbl2.Rd
man/Denmark.Rd
man/ur.kpss.Rd
man/ur.za-class.Rd
man/ur.sp-class.Rd
man/lttest.Rd
man/ur.df.Rd
man/ur.pp.Rd
man/UKconsumption.Rd
man/UKconinc.Rd
man/Raotbl6.Rd
man/show.urca.Rd
man/urca-internal.Rd
man/ur.ers.Rd
man/ur.kpss-class.Rd
man/cajorls.Rd
man/Finland.Rd
man/ablrtest.Rd
man/ur.za.Rd
man/UKpppuip.Rd
man/blrtest.Rd
man/plotres.Rd
man/NPEXT.Rd
man/bh5lrtest.Rd
man/ur.sp.Rd
man/Raotbl4.Rd
man/cajo.test-class.Rd
man/alphaols.Rd
man/sumurca-class.Rd
man/cajools.Rd
man/ur.df-class.Rd
man/ca.jo.Rd
man/cajolst.Rd
man/ca.po.Rd
man/NPORG.Rd
man/bh6lrtest.Rd
man/show-methods.Rd
man/Raotbl7.Rd
man/ur.ers-class.Rd
urca documentation built on May 19, 2017, 1:13 p.m.