Package: urca 1.3-4

urca: Unit Root and Cointegration Tests for Time Series Data

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

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

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urca.pdf |urca.html✨
urca/json (API)

# Install 'urca' in R:
install.packages('urca', repos = c('https://bpfaff.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:
  • Raotbl1 - Data set used by Dickey, Jansen and Thornton
  • Raotbl2 - Data set used by Dickey, Jansen and Thornton
  • Raotbl3 - Data set used by Holden and Perman
  • Raotbl4 - Data set used by Pierre Perron
  • Raotbl5 - Data set used by Pierre Perron
  • Raotbl6 - Data set used by Yash P. Mehra
  • Raotbl7 - Data set used by Glenn Otto
  • UKconinc - Data set for the United Kingdom
  • UKconsumption - Data set for the United Kingdom
  • UKpppuip - Data set for the United Kingdom: ppp and uip
  • denmark - Data set for Denmark, Johansen and Juselius
  • ecb - Macroeconomic data of the Euro Zone
  • finland - Data set for Finland, Johansen and Juseliues
  • npext - Nelson and Plosser extended data set
  • nporg - Nelson and Plosser original data set

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

9.02 score 5 stars 260 packages 1.3k scripts 198k downloads 1 mentions 25 exports 2 dependencies

Last updated 6 months agofrom:93e7fb6bea. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 25 2024
R-4.5-win-x86_64OKOct 25 2024
R-4.5-linux-x86_64OKOct 25 2024
R-4.4-win-x86_64OKOct 25 2024
R-4.4-mac-x86_64OKOct 25 2024
R-4.4-mac-aarch64OKOct 25 2024
R-4.3-win-x86_64OKOct 25 2024
R-4.3-mac-x86_64OKOct 25 2024
R-4.3-mac-aarch64OKOct 25 2024

Exports:ablrtestalphaolsalrtestbh5lrtestbh6lrtestblrtestca.joca.pocajolstcajoolscajorlslttestplotplotrespunitrootqunitrootshowsummaryunitrootTableur.dfur.ersur.kpssur.ppur.spur.za

Dependencies:latticenlme

Readme and manuals

Help Manual

Help pageTopics
Likelihood ratio test for restrictions on alpha and betaablrtest
OLS regression of VECM weighting matrixalphaols
Likelihood ratio test for restrictions on alphaalrtest
Likelihood ratio test for restrictions under partly known betabh5lrtest
Likelihood ratio test for restrictions under partly known beta in a subspacebh6lrtest
Likelihood ratio test for restrictions on betablrtest
Johansen Procedure for VARca.jo
Representation of class ca.joca.jo-class
Phillips and Ouliaris Cointegration Testca.po
Representation of class ca.poca.po-class
Representation of class cajo.testcajo.test-class
Testing Cointegrating Rank with Level Shift at Unknown timecajolst
OLS regression of VECMcajools
OLS regression of VECMcajorls
Data set for Denmark, Johansen and Juselius (1990)denmark
Macroeconomic data of the Euro Zoneecb
Data set for Finland, Johansen and Juseliues (1990)finland
Likelihood ratio test for no linear trend in VARlttest
MacKinnon's Unit Root p ValuesMacKinnonPValues punitroot qunitroot unitrootTable
Nelson and Plosser extended data setnpext
Nelson and Plosser original data setnporg
Methods for Function plot in Package urcaplot plot,ca.jo,missing-method plot,ca.po,missing-method plot,ur.df,missing-method plot,ur.ers,missing-method plot,ur.kpss,missing-method plot,ur.pp,missing-method plot,ur.sp,missing-method plot,ur.za,missing-method plot-methods
Graphical inspection of VECM residualsplotres
Data set used by Dickey, Jansen and Thornton (1994)Raotbl1
Data set used by Dickey, Jansen and Thornton (1994)Raotbl2
Data set used by Holden and Perman (1994)Raotbl3
Data set used by Pierre Perron (1994)Raotbl4
Data set used by Pierre Perron (1994)Raotbl5
Data set used by Yash P. Mehra (1994)Raotbl6
Data set used by Glenn Otto (1994)Raotbl7
Methods for Function show in Package `urca'show show,ca.jo-method show,ca.po-method show,cajo.test-method show,sumurca-method show,ur.df-method show,ur.ers-method show,ur.kpss-method show,ur.pp-method show,ur.sp-method show,ur.za-method show-methods
Function to show objects of classes for unit root testsshow.urca
Methods for Function summary in Package `urca'summary summary,ca.jo-method summary,ca.po-method summary,cajo.test-method summary,ur.df-method summary,ur.ers-method summary,ur.kpss-method summary,ur.pp-method summary,ur.sp-method summary,ur.za-method summary-methods
Representation of class sumurcasumurca-class
Data set for the United KingdomUKconinc
Data set for the United KingdomUKconsumption
Data set for the United Kingdom: ppp and uipUKpppuip
Augmented-Dickey-Fuller Unit Root Testur.df
Representation of class ur.dfur.df-class
Elliott, Rothenberg and Stock Unit Root Testur.ers
Representation of class ur.ersur.ers-class
Kwiatkowski et al. Unit Root Testur.kpss
Representation of class ur.kpssur.kpss-class
Phillips and Perron Unit Root Testur.pp
Representation of class ur.ppur.pp-class
Schmidt and Phillips Unit Root Testur.sp
Representation of class ur.spur.sp-class
Zivot and Andrews Unit Root Testur.za
Representation of class ur.zaur.za-class
Class `urca'. Parent of classes in package `urca'urca-class
Critical values for Schmidt and Phillips Unit Root Test.spcv