matthewclegg/egcm
Engle-Granger Cointegration Models

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Man pages for matthewclegg/egcm
Engle-Granger Cointegration Models

acorautocorrelation
allpairs.egcmPerform cointegration tests for all pairs of securities in a...
bvr.testUnit root test based upon Breitung's variance ratio
detrendRemove a linear trend from a vector
egcmSimplified Engle-Granger Cointegration Model
egcm-packageSimplified Engle-Granger Cointegration Models
egcm.set.default.i1testSet and get defaults for Engle-Granger cointegration models
pgff.testUnit root test of Pantula, Gonzales-Farias and Fuller
rar1Random AR(1) vector
rcointRandom generation of cointegrated sequences
sim.egcmGenerate simulated data from an Engle-Granger cointegration...
ur_powerPower assessment for unit root tests
yegcmEngle-Granger cointegration model from Yahoo! price series
matthewclegg/egcm documentation built on March 5, 2023, 6:33 a.m.

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