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egcm
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]
[Scholar Profile | Author Map]
All associated links for this package
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
Previous versions and publish date:
Other packages that cited egcm R package
View egcm citation profile
Other R packages that egcm depends,
imports, suggests or enhances
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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