Unit Root and Cointegration Tests for Time Series Data
Unit root and cointegration tests encountered in applied econometric analysis are implemented.
Data set for Denmark, Johansen \& Juselius (1990)
Macroeconomic data of the Euro Zone
Data set for Finland, Johansen \& Juseliues (1990)
MacKinnon's Unit Root p Values
Nelson \& Plosser extended data set
Nelson \& Plosser original data set
Data set used by Dickey, Jansen \& Thornton (1994)
Data set used by Holden and Perman (1994)
Data set used by Pierre Perron (1994)
Data set used by Yash P. Mehra (1994)
Data set used by Glenn Otto (1994)
Data set for the United Kingdom
Data set for the United Kingdom: ppp and uip
Likelihood ratio test for restrictions on alpha and beta
OLS regression of VECM weighting matrix
Likelihood ratio test for restrictions on alpha
Likelihood ratio test for restrictions under partly known beta
Likelihood ratio test for restrictions under partly known beta in a subspace
Likelihood ratio test for restrictions on beta
Johansen Procedure for VAR
Representation of class ca.jo
Phillips \& Ouliaris Cointegration Test
Representation of class ca.po
Representation of class cajo.test
Testing Cointegrating Rank with Level Shift at Unknown time
OLS regression of VECM
Likelihood ratio test for no linear trend in VAR
Methods for Function plot in Package urca
Graphical inspection of VECM residuals
Methods for Function show in Package ‘urca’
Function to show objects of classes for unit root tests
Methods for Function summary in Package ‘urca’
Representation of class sumurca
Augmented-Dickey-Fuller Unit Root Test
Representation of class ur.df
Elliott, Rothenberg \& Stock Unit Root Test
Representation of class ur.ers
Kwiatkowski et al. Unit Root Test
Representation of class ur.kpss
Phillips \& Perron Unit Root Test
Representation of class ur.pp
Schmidt \& Phillips Unit Root Test
Representation of class ur.sp
Zivot \& Andrews Unit Root Test
Representation of class ur.za
Class ‘urca’. Parent of classes in package ‘urca’
Critical values for Schmidt \& Phillips Unit Root Test
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