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: 1.0.6
Depends: zoo, xts, TTR
Imports: grid, ggplot2, tseries, MASS, urca, parallel, fArma
Published: 2015-02-06
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
In views: Finance
CRAN checks: egcm results

Downloads:

Reference manual: egcm.pdf
Package source: egcm_1.0.6.tar.gz
Windows binaries: r-devel: egcm_1.0.6.zip, r-release: egcm_1.0.6.zip, r-oldrel: egcm_1.0.6.zip
OS X Snow Leopard binaries: r-oldrel: egcm_1.0.6.tgz
OS X Mavericks binaries: r-release: egcm_1.0.6.tgz
Old sources: egcm archive

Reverse dependencies:

Reverse suggests: partialAR