urca v1.3-0

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Unit Root and Cointegration Tests for Time Series Data

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

Functions in urca

Name Description
ca.po-class Representation of class ca.po
ca.jo-class Representation of class ca.jo
bh5lrtest Likelihood ratio test for restrictions under partly known beta
ca.po Phillips \& Ouliaris Cointegration Test
cajo.test-class Representation of class cajo.test
alrtest Likelihood ratio test for restrictions on alpha
cajolst Testing Cointegrating Rank with Level Shift at Unknown time
bh6lrtest Likelihood ratio test for restrictions under partly known beta in a subspace
blrtest Likelihood ratio test for restrictions on beta
ablrtest Likelihood ratio test for restrictions on alpha and beta
plot-methods Methods for Function plot in Package urca
ecb Macroeconomic data of the Euro Zone
npext Nelson \& Plosser extended data set
MacKinnonPValues MacKinnon's Unit Root p Values
finland Data set for Finland, Johansen \& Juseliues (1990)
cajools OLS regression of VECM
denmark Data set for Denmark, Johansen \& Juselius (1990)
cajorls OLS regression of VECM
nporg Nelson \& Plosser original data set
lttest Likelihood ratio test for no linear trend in VAR
Raotbl1 Data set used by Dickey, Jansen \& Thornton (1994)
Raotbl4 Data set used by Pierre Perron (1994)
Raotbl3 Data set used by Holden and Perman (1994)
Raotbl5 Data set used by Pierre Perron (1994)
plotres Graphical inspection of VECM residuals
show-methods Methods for Function show in Package `urca'
Raotbl6 Data set used by Yash P. Mehra (1994)
Raotbl2 Data set used by Dickey, Jansen \& Thornton (1994)
Raotbl7 Data set used by Glenn Otto (1994)
show.urca Function to show objects of classes for unit root tests
sumurca-class Representation of class sumurca
UKconinc Data set for the United Kingdom
ur.df-class Representation of class ur.df
ur.kpss-class Representation of class ur.kpss
ur.ers Elliott, Rothenberg \& Stock Unit Root Test
summary-methods Methods for Function summary in Package `urca'
ur.df Augmented-Dickey-Fuller Unit Root Test
UKconsumption Data set for the United Kingdom
ur.ers-class Representation of class ur.ers
ur.kpss Kwiatkowski et al. Unit Root Test
ur.sp Schmidt \& Phillips Unit Root Test
ur.pp-class Representation of class ur.pp
ur.za-class Representation of class ur.za
urca-internal Critical values for Schmidt \& Phillips Unit Root Test
ur.za Zivot \& Andrews Unit Root Test
ur.sp-class Representation of class ur.sp
ur.pp Phillips \& Perron Unit Root Test
UKpppuip Data set for the United Kingdom: ppp and uip
urca-class Class `urca'. Parent of classes in package `urca'
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Details

Date 2016-09-06
LazyLoad yes
License GPL (>= 2)
NeedsCompilation yes
Packaged 2016-09-06 20:57:19 UTC; bp
Repository CRAN
Date/Publication 2016-09-06 23:26:02

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