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]
First Published: 2014-01-30
Latest Update: 2023-02-27
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 04 May. 2025.
Previous versions and publish date:
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)
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
04/0404/0504/0604/0704/0804/0904/1004/1104/1204/1304/1404/1504/1604/1704/1804/1904/2004/2104/2204/2304/2404/2504/2604/2704/2804/2904/3005/0105/03Downloads for egcm0510152025303540455055TrendBars

Today's Hot Picks in Authors and Packages

dipw  
Debiased Inverse Propensity Score Weighting
Estimation of the average treatment effect when controlling for high-dimensional confounders using ...
Download / Learn more Package Citations See dependency  
aos  
Animate on Scroll Library for 'shiny'
Trigger animation effects on scroll on any HTML element of 'shiny' and 'rmarkdown', such as any tex ...
Download / Learn more Package Citations See dependency  
kutils  
Project Management Tools
Tools for data importation, recoding, and inspection. There are functions to create new project fo ...
Download / Learn more Package Citations See dependency  
tidyRSS  
Tidy RSS for R
With the objective of including data from RSS feeds into your analysis, 'tidyRSS' parses RSS, Atom ...
Download / Learn more Package Citations See dependency  
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  
appler  
'Apple App Store' and 'iTunes' Data Extraction
Using 'Apple App Store' web scraping and 'iTunes' API ...
Download / Learn more Package Citations See dependency  

24,187

R Packages

207,311

Dependencies

65,312

Author Associations

24,143

Publication Badges

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