Learn R Programming

urca (version 1.3-4)

Unit Root and Cointegration Tests for Time Series Data

Description

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

Copy Link

Version

Install

install.packages('urca')

Monthly Downloads

153,624

Version

1.3-4

License

GPL (>= 2)

Maintainer

Last Published

May 27th, 2024

Functions in urca (1.3-4)

bh5lrtest

Likelihood ratio test for restrictions under partly known beta
Raotbl6

Data set used by Yash P. Mehra (1994)
UKpppuip

Data set for the United Kingdom: ppp and uip
alphaols

OLS regression of VECM weighting matrix
Raotbl5

Data set used by Pierre Perron (1994)
ca.po-class

Representation of class ca.po
cajorls

OLS regression of VECM
cajools

OLS regression of VECM
bh6lrtest

Likelihood ratio test for restrictions under partly known beta in a subspace
ca.jo

Johansen Procedure for VAR
ca.po

Phillips and Ouliaris Cointegration Test
ca.jo-class

Representation of class ca.jo
blrtest

Likelihood ratio test for restrictions on beta
cajo.test-class

Representation of class cajo.test
cajolst

Testing Cointegrating Rank with Level Shift at Unknown time
plotres

Graphical inspection of VECM residuals
plot-methods

Methods for Function plot in Package urca
ur.df

Augmented-Dickey-Fuller Unit Root Test
ur.ers-class

Representation of class ur.ers
ur.df-class

Representation of class ur.df
summary-methods

Methods for Function summary in Package `urca'
lttest

Likelihood ratio test for no linear trend in VAR
show.urca

Function to show objects of classes for unit root tests
sumurca-class

Representation of class sumurca
show-methods

Methods for Function show in Package `urca'
ur.sp

Schmidt and Phillips Unit Root Test
ur.sp-class

Representation of class ur.sp
ur.za

Zivot and Andrews Unit Root Test
ur.pp

Phillips and Perron Unit Root Test
ur.ers

Elliott, Rothenberg and Stock Unit Root Test
urca-class

Class `urca'. Parent of classes in package `urca'
ur.za-class

Representation of class ur.za
ur.pp-class

Representation of class ur.pp
ur.kpss-class

Representation of class ur.kpss
ur.kpss

Kwiatkowski et al. Unit Root Test
urca-internal

Critical values for Schmidt and Phillips Unit Root Test
Raotbl1

Data set used by Dickey, Jansen and Thornton (1994)
Raotbl2

Data set used by Dickey, Jansen and Thornton (1994)
denmark

Data set for Denmark, Johansen and Juselius (1990)
ecb

Macroeconomic data of the Euro Zone
ablrtest

Likelihood ratio test for restrictions on alpha and beta
Raotbl3

Data set used by Holden and Perman (1994)
Raotbl4

Data set used by Pierre Perron (1994)
Raotbl7

Data set used by Glenn Otto (1994)
alrtest

Likelihood ratio test for restrictions on alpha
UKconsumption

Data set for the United Kingdom
finland

Data set for Finland, Johansen and Juseliues (1990)
npext

Nelson and Plosser extended data set
nporg

Nelson and Plosser original data set
MacKinnonPValues

MacKinnon's Unit Root p Values
UKconinc

Data set for the United Kingdom