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.
| Version: | 1.0.13 |
| Depends: | zoo, xts |
| Imports: | grid, ggplot2, tseries, MASS, urca, parallel, pracma, stats, quantmod, methods |
| Published: | 2023-02-27 |
| DOI: | 10.32614/CRAN.package.egcm |
| Author: | Matthew Clegg [aut, cre, cph] |
| Maintainer: | Matthew Clegg <matthewcleggphd at gmail.com> |
| License: | GPL-2 | GPL-3 |
| NeedsCompilation: | no |
| Citation: | egcm citation info |
| Materials: | README ChangeLog |
| CRAN checks: | egcm results |
| Reference manual: | egcm.pdf |
| Package source: | egcm_1.0.13.tar.gz |
| Windows binaries: | r-devel: egcm_1.0.13.zip, r-release: egcm_1.0.13.zip, r-oldrel: egcm_1.0.13.zip |
| macOS binaries: | r-devel (arm64): egcm_1.0.13.tgz, r-release (arm64): egcm_1.0.13.tgz, r-oldrel (arm64): egcm_1.0.13.tgz, r-devel (x86_64): egcm_1.0.13.tgz, r-release (x86_64): egcm_1.0.13.tgz, r-oldrel (x86_64): egcm_1.0.13.tgz |
| Old sources: | egcm archive |
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