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.
| 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 [issues need fixing before 2025-11-15] |
Documentation:
Downloads:
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