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 20:53:29
MaintainerBernhard Pfaff <bernhard@pfaffikus.de>
LicenseGPL (>=2)
Version1.3-0

View on R-Forge

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

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

Files

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

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