Unit Root and Cointegration Tests for Time Series Data

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


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install.packages("urca")

1.3-0 by Bernhard Pfaff, 3 years ago


Browse source code at https://github.com/cran/urca


Authors: Bernhard Pfaff [aut, cre] , Eric Zivot [ctb] , Matthieu Stigler [ctb]


Documentation:   PDF Manual  


Task views: Econometrics, Empirical Finance, Time Series Analysis


GPL (>= 2) license


Imports nlme, graphics, stats

Depends on methods


Imported by BETS, CommonTrend, GVARX, analytics, apt, autovarCore, egcm, erer, fUnitRoots, forecast, partialAR, tsDyn, tsfeatures.

Depended on by AnalyzeTS, CADFtest, frequencyConnectedness, mleur, vars.

Suggested by AER, FinTS, dynamac, fracdiff.


See at CRAN