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 04 Jun. 2026.
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), 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

murphydiagram  
Murphy Diagrams for Forecast Comparisons
Data and code for the paper by Ehm, Gneiting, Jordan and Krueger ('Of Quantiles and Expectiles: Con ...
Download / Learn more Package Citations See dependency  
phers  
Calculate Phenotype Risk Scores
Use phenotype risk scores based on linked clinical and genetic data to study Mendelian disease and ...
Download / Learn more Package Citations See dependency  
nextGenShinyApps  
Craft Exceptional 'R Shiny' Applications and Dashboards with Novel Responsive Tools
Nove responsive tools for designing and developing 'Shiny' dashboards and applications. The scripts ...
Download / Learn more Package Citations See dependency  
AMPLE  
Shiny Apps to Support Capacity Building on Harvest Control Rules
Three Shiny apps are provided that introduce Harvest Control Rules (HCR) for fisheries management. ...
Download / Learn more Package Citations See dependency  
golem  
A Framework for Robust Shiny Applications
An opinionated framework for building a production-ready 'Shiny' application. This package contains ...
Download / Learn more Package Citations See dependency  
crplyr  
A 'dplyr' Interface for Crunch
In order to facilitate analysis of datasets hosted on the Crunch data platform ...
Download / Learn more Package Citations See dependency  

27,268

R Packages

233,548

Dependencies

72,590

Author Associations

27,205

Publication Badges

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