Rdocumentation
powered by
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
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
180,241
Version
1.3-4
License
GPL (>= 2)
Maintainer
Bernhard Pfaff
Last Published
May 27th, 2024
Functions in urca (1.3-4)
Search all functions
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