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.
|Depends:||grid, ggplot2, tseries, zoo, MASS|
|Suggests:||urca, TTR, parallel, fArma|
|Maintainer:||Matthew Clegg <matthewcleggphd at gmail.com>|
|License:||GPL-2 | GPL-3|
|Citation:||egcm citation info|
|CRAN checks:||egcm results|
|MacOS X binary:||egcm_1.0.1.tgz|