Other packages > Find by keyword >

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 05 Aug. 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
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  
dcov  
A Fast Implementation of Distance Covariance
Efficient methods for computing distance covariance and relevant statistics. See Sz ...
Download / Learn more Package Citations See dependency  
dhReg  
Dynamic Harmonic Regression
Building and forecasting time series data with multiple seasonality using Dynamic Harmonic Regressio ...
Download / Learn more Package Citations See dependency  
kernelPSI  
Post-Selection Inference for Nonlinear Variable Selection
Different post-selection inference strategies for kernelselection as described in kernelPSI a Post-S ...
Download / Learn more Package Citations See dependency  
noisyr  
Noise Quantification in High Throughput Sequencing Output
Quantifies and removes technical noise from high-throughput sequencing data. Two approaches are use ...
Download / Learn more Package Citations See dependency  

28,083

R Packages

239,283

Dependencies

74,457

Author Associations

28,084

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA