Unit Root and Cointegration Tests for Time Series Data

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


Reference manual

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1.3-0 by Bernhard Pfaff, 5 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, GVARX, apt, bootUR, ecm, egcm, erer, fUnitRoots, forecast, fpp3, memochange, partialAR, seer, tsDyn, tsfeatures.

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

Suggested by AER, FinTS, dynamac, feasts, fracdiff, plm.

See at CRAN