Engle-Granger Cointegration Models


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Documentation for package ‘egcm’ version 1.0.12

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egcm-package Simplified Engle-Granger Cointegration Models
acor autocorrelation
adf_power Power assessment for unit root tests
adf_power_table Power assessment for unit root tests
allpairs.egcm Perform cointegration tests for all pairs of securities in a list
bvr.test Unit root test based upon Breitung's variance ratio
bvr_power Power assessment for unit root tests
bvr_power_table Power assessment for unit root tests
bvr_rho Unit root test based upon Breitung's variance ratio
detrend Remove a linear trend from a vector
egcm Simplified Engle-Granger Cointegration Model
egcm.default.i1test Set and get defaults for Engle-Granger cointegration models
egcm.default.pvalue Set and get defaults for Engle-Granger cointegration models
egcm.default.urtest Set and get defaults for Engle-Granger cointegration models
egcm.i1tests Set and get defaults for Engle-Granger cointegration models
egcm.set.default.i1test Set and get defaults for Engle-Granger cointegration models
egcm.set.default.pvalue Set and get defaults for Engle-Granger cointegration models
egcm.set.default.urtest Set and get defaults for Engle-Granger cointegration models
egcm.urtests Set and get defaults for Engle-Granger cointegration models
is.ar1 Simplified Engle-Granger Cointegration Model
is.cointegrated Simplified Engle-Granger Cointegration Model
pgff.test Unit root test of Pantula, Gonzales-Farias and Fuller
pgff_power Power assessment for unit root tests
pgff_power_table Power assessment for unit root tests
pgff_rho_ws Unit root test of Pantula, Gonzales-Farias and Fuller
plot.egcm Simplified Engle-Granger Cointegration Model
rar1 Random AR(1) vector
rcoint Random generation of cointegrated sequences
sim.egcm Generate simulated data from an Engle-Granger cointegration model
summary.egcm Simplified Engle-Granger Cointegration Model
ur_power Power assessment for unit root tests
ur_power_table Power assessment for unit root tests
yegcm Engle-Granger cointegration model from Yahoo! price series