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urca (version 1.2-9)
Unit Root and Cointegration Tests for Time Series Data
Description
Unit root and cointegration tests encountered in applied econometric analysis are implemented.
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Install
install.packages('urca')
Monthly Downloads
107,232
Version
1.2-9
License
GPL (>= 2)
Maintainer
Bernhard Pfaff
Last Published
January 11th, 2016
Functions in urca (1.2-9)
Search all functions
Raotbl6
Data set used by Yash P. Mehra (1994)
UKconinc
Data set for the United Kingdom
Raotbl2
Data set used by Dickey, Jansen \& Thornton (1994)
ur.pp
Phillips \& Perron Unit Root Test
Raotbl3
Data set used by Holden and Perman (1994)
MacKinnonPValues
MacKinnon's Unit Root p Values
UKpppuip
Data set for the United Kingdom: ppp and uip
ur.kpss
Kwiatkowski et al. Unit Root Test
ur.ers-class
Representation of class ur.ers
Raotbl4
Data set used by Pierre Perron (1994)
bh5lrtest
Likelihood ratio test for restrictions under partly known beta
UKconsumption
Data set for the United Kingdom
ca.jo
Johansen Procedure for VAR
lttest
Likelihood ratio test for no linear trend in VAR
show.urca
Function to show objects of classes for unit root tests
ur.df-class
Representation of class ur.df
blrtest
Likelihood ratio test for restrictions on beta
plot-methods
Methods for Function plot in Package urca
Raotbl5
Data set used by Pierre Perron (1994)
ur.df
Augmented-Dickey-Fuller Unit Root Test
ur.kpss-class
Representation of class ur.kpss
ur.za-class
Representation of class ur.za
ur.pp-class
Representation of class ur.pp
ca.jo-class
Representation of class ca.jo
npext
Nelson \& Plosser extended data set
alphaols
OLS regression of VECM weighting matrix
denmark
Data set for Denmark, Johansen \& Juselius (1990)
ur.sp
Schmidt \& Phillips Unit Root Test
ecb
Macroeconomic data of the Euro Zone
ablrtest
Likelihood ratio test for restrictions on alpha and beta
cajo.test-class
Representation of class cajo.test
ca.po-class
Representation of class ca.po
nporg
Nelson \& Plosser original data set
alrtest
Likelihood ratio test for restrictions on alpha
summary-methods
Methods for Function summary in Package `urca'
urca-internal
Critical values for Schmidt \& Phillips Unit Root Test
plotres
Graphical inspection of VECM residuals
finland
Data set for Finland, Johansen \& Juseliues (1990)
Raotbl7
Data set used by Glenn Otto (1994)
sumurca-class
Representation of class sumurca
Raotbl1
Data set used by Dickey, Jansen \& Thornton (1994)
cajolst
Testing Cointegrating Rank with Level Shift at Unknown time
cajools
OLS regression of VECM
bh6lrtest
Likelihood ratio test for restrictions under partly known beta in a subspace
ur.sp-class
Representation of class ur.sp
cajorls
OLS regression of VECM
ur.ers
Elliott, Rothenberg \& Stock Unit Root Test
ca.po
Phillips \& Ouliaris Cointegration Test
urca-class
Class `urca'. Parent of classes in package `urca'
show-methods
Methods for Function show in Package `urca'
ur.za
Zivot \& Andrews Unit Root Test