Rdocumentation
powered by
Learn R Programming
⚠️
There's a newer version (1.3-4) of this package.
Take me there.
urca (version 1.3-3)
Unit Root and Cointegration Tests for Time Series Data
Description
Unit root and cointegration tests encountered in applied econometric analysis are implemented.
Copy Link
Link to current version
Version
Version
1.3-4
1.3-3
1.3-0
1.2-9
1.2-8
1.2-7
1.2-6
1.2-5
1.2-4
1.2-3
1.2-2
1.2-1
1.1-7
1.1-6
1.1-5
1.1-3
1.1-2
1.0-9
1.0-8
1.0-5
1.0-3
1.0-2
1.0-1
1.0-0
0.9-9
0.9-7
0.9-5
0.9-3
0.9-2
0.9-1
0.8-3
0.8-2
0.8-1
0.7-9
0.7-5
0.7-0
0.6-9
0.6-7
0.6-1
0.6-0
0.5-5
0.5-4
0.5-3
0.4-7
0.3-7
0.3-3
0.2-1
0.2-0
Install
install.packages('urca')
Monthly Downloads
139,735
Version
1.3-3
License
GPL (>= 2)
Maintainer
Bernhard Pfaff
Last Published
August 29th, 2022
Functions in urca (1.3-3)
Search all functions
nporg
Nelson and Plosser original data set
finland
Data set for Finland, Johansen and Juseliues (1990)
Raotbl4
Data set used by Pierre Perron (1994)
Raotbl3
Data set used by Holden and Perman (1994)
Raotbl1
Data set used by Dickey, Jansen and Thornton (1994)
Raotbl2
Data set used by Dickey, Jansen and Thornton (1994)
npext
Nelson and Plosser extended data set
denmark
Data set for Denmark, Johansen and Juselius (1990)
MacKinnonPValues
MacKinnon's Unit Root p Values
ecb
Macroeconomic data of the Euro Zone
Raotbl5
Data set used by Pierre Perron (1994)
alrtest
Likelihood ratio test for restrictions on alpha
Raotbl7
Data set used by Glenn Otto (1994)
Raotbl6
Data set used by Yash P. Mehra (1994)
bh5lrtest
Likelihood ratio test for restrictions under partly known beta
UKconsumption
Data set for the United Kingdom
UKconinc
Data set for the United Kingdom
UKpppuip
Data set for the United Kingdom: ppp and uip
ablrtest
Likelihood ratio test for restrictions on alpha and beta
alphaols
OLS regression of VECM weighting matrix
cajorls
OLS regression of VECM
cajolst
Testing Cointegrating Rank with Level Shift at Unknown time
cajo.test-class
Representation of class cajo.test
ca.po-class
Representation of class ca.po
ca.jo
Johansen Procedure for VAR
ca.po
Phillips and Ouliaris Cointegration Test
blrtest
Likelihood ratio test for restrictions on beta
cajools
OLS regression of VECM
ca.jo-class
Representation of class ca.jo
bh6lrtest
Likelihood ratio test for restrictions under partly known beta in a subspace
lttest
Likelihood ratio test for no linear trend in VAR
plotres
Graphical inspection of VECM residuals
ur.ers-class
Representation of class ur.ers
ur.df
Augmented-Dickey-Fuller Unit Root Test
show-methods
Methods for Function show in Package `urca'
summary-methods
Methods for Function summary in Package `urca'
plot-methods
Methods for Function plot in Package urca
sumurca-class
Representation of class sumurca
show.urca
Function to show objects of classes for unit root tests
ur.df-class
Representation of class ur.df
ur.pp-class
Representation of class ur.pp
ur.kpss
Kwiatkowski et al. Unit Root Test
ur.za
Zivot and Andrews Unit Root Test
urca-class
Class `urca'. Parent of classes in package `urca'
ur.pp
Phillips and Perron Unit Root Test
ur.ers
Elliott, Rothenberg and Stock Unit Root Test
ur.kpss-class
Representation of class ur.kpss
ur.za-class
Representation of class ur.za
ur.sp
Schmidt and Phillips Unit Root Test
ur.sp-class
Representation of class ur.sp
urca-internal
Critical values for Schmidt and Phillips Unit Root Test