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urca (version 1.3-0)
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
137,177
Version
1.3-0
License
GPL (>= 2)
Maintainer
Bernhard Pfaff
Last Published
September 6th, 2016
Functions in urca (1.3-0)
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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'
alphaols
OLS regression of VECM weighting matrix
ca.jo
Johansen Procedure for VAR