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egcm  

Engle-Granger Cointegration Models
View on CRAN: Click here


Download and install egcm package within the R console
Install from CRAN:
install.packages("egcm")

Install from Github:
library("remotes")
install_github("cran/egcm")

Install by package version:
library("remotes")
install_version("egcm", "1.0.13")



Attach the package and use:
library("egcm")
Maintained by
Matthew Clegg
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2014-01-30
Latest Update: 2025-09-03
Description:
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.
How to cite:
Matthew Clegg (2014). egcm: Engle-Granger Cointegration Models. R package version 1.0.13, https://cran.r-project.org/web/packages/egcm. Accessed 26 Oct. 2026.
Previous versions and publish date:
(2026-07-09 07:35), 1.0.1 (2014-01-30 21:12), 1.0.2 (2014-03-28 16:10), 1.0.6 (2015-02-06 15:50), 1.0.8 (2015-11-13 08:55), 1.0.12 (2017-09-18 15:00), 1.0.13 (2023-02-27 10:42)
Other packages that cited egcm R package
View egcm citation profile
Other R packages that egcm depends, imports, suggests or enhances
Complete documentation for egcm
Functions, R codes and Examples using the egcm R package
Some associated functions: acor . allpairs.egcm . bvr.test . detrend . egcm-package . egcm . egcm.set.default.i1test . pgff.test . rar1 . rcoint . sim.egcm . ur_power . yegcm . 
Some associated R codes: bvr.R . egcm.R . egcm_base.R . egcm_data.R . egcm_extras.R . init.R . pgff.R . unitroot.R .  Full egcm package functions and examples
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