Package: egcm 1.0.13

egcm: Engle-Granger Cointegration Models

An easy-to-use implementation of the Engle-Granger two-step procedure for identifying pairs of cointegrated series. It is geared towards the analysis of pairs of securities. Summary and plot functions are provided, and the package is able to fetch closing prices of securities from Yahoo. A variety of unit root tests are supported, and an improved unit root test is included.

Authors:Matthew Clegg [aut, cre, cph]

egcm_1.0.13.tar.gz
egcm_1.0.13.zip(r-4.5)egcm_1.0.13.zip(r-4.4)egcm_1.0.13.zip(r-4.3)
egcm_1.0.13.tgz(r-4.4-any)egcm_1.0.13.tgz(r-4.3-any)
egcm_1.0.13.tar.gz(r-4.5-noble)egcm_1.0.13.tar.gz(r-4.4-noble)
egcm_1.0.13.tgz(r-4.4-emscripten)egcm_1.0.13.tgz(r-4.3-emscripten)
egcm.pdf |egcm.html✨
egcm/json (API)

Peer review:

Bug tracker:https://github.com/matthewclegg/egcm/issues

On CRAN:

30 exports 16 stars 1.82 score 38 dependencies 54 scripts 339 downloads

Last updated 2 years agofrom:0354b5a386. Checks:OK: 3 NOTE: 4. Indexed: yes.

Exports:acoradf_poweradf_power_tableallpairs.egcmbvr_powerbvr_power_tablebvr_rhobvr.testdetrendegcmegcm.default.i1testegcm.default.pvalueegcm.default.urtestegcm.i1testsegcm.set.default.i1testegcm.set.default.pvalueegcm.set.default.urtestegcm.urtestsis.ar1is.cointegratedpgff_powerpgff_power_tablepgff_rho_wspgff.testrar1rcointsim.egcmur_powerur_power_tableyegcm

Dependencies:clicolorspacecurlfansifarverggplot2gluegtableisobandjsonlitelabelinglatticelifecyclemagrittrMASSMatrixmgcvmunsellnlmepillarpkgconfigpracmaquadprogquantmodR6RColorBrewerrlangscalestibbletseriesTTRurcautf8vctrsviridisLitewithrxtszoo