egcm: Engle-Granger cointegration models

This package provides 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: 1.0.2
Depends: grid, ggplot2, tseries, zoo, MASS
Suggests: urca, TTR, parallel, fArma
Published: 2014-03-28
Author: Matthew Clegg
Maintainer: Matthew Clegg <matthewcleggphd at gmail.com>
License: GPL-2 | GPL-3
NeedsCompilation: no
Citation: egcm citation info
Materials: README
In views: Finance
CRAN checks: egcm results

Downloads:

Reference manual: egcm.pdf
Package source: egcm_1.0.2.tar.gz
OS X binary: egcm_1.0.2.tgz
Windows binary: egcm_1.0.2.zip
Old sources: egcm archive