R: Engle-Granger Cointegration Models

# Engle-Granger Cointegration Models

## Documentation for package ‘egcm’ version 1.0.13

- DESCRIPTION file.

## Help Pages

egcm-package | Simplified Engle-Granger Cointegration Models
acor | autocorrelation
adf_power | Power assessment for unit root tests
adf_power_table | Power assessment for unit root tests
allpairs.egcm | Perform cointegration tests for all pairs of securities in a list
bvr.test | Unit root test based upon Breitung's variance ratio
bvr_power | Power assessment for unit root tests
bvr_power_table | Power assessment for unit root tests
bvr_rho | Unit root test based upon Breitung's variance ratio
detrend | Remove a linear trend from a vector
egcm | Simplified Engle-Granger Cointegration Model
egcm.default.i1test | Set and get defaults for Engle-Granger cointegration models
egcm.default.pvalue | Set and get defaults for Engle-Granger cointegration models
egcm.default.urtest | Set and get defaults for Engle-Granger cointegration models
egcm.i1tests | Set and get defaults for Engle-Granger cointegration models
egcm.set.default.i1test | Set and get defaults for Engle-Granger cointegration models
egcm.set.default.pvalue | Set and get defaults for Engle-Granger cointegration models
egcm.set.default.urtest | Set and get defaults for Engle-Granger cointegration models
egcm.urtests | Set and get defaults for Engle-Granger cointegration models
is.ar1 | Simplified Engle-Granger Cointegration Model
is.cointegrated | Simplified Engle-Granger Cointegration Model
pgff.test | Unit root test of Pantula, Gonzales-Farias and Fuller
pgff_power | Power assessment for unit root tests
pgff_power_table | Power assessment for unit root tests
pgff_rho_ws | Unit root test of Pantula, Gonzales-Farias and Fuller
plot.egcm | Simplified Engle-Granger Cointegration Model
rar1 | Random AR(1) vector
rcoint | Random generation of cointegrated sequences
sim.egcm | Generate simulated data from an Engle-Granger cointegration model
summary.egcm | Simplified Engle-Granger Cointegration Model
ur_power | Power assessment for unit root tests
ur_power_table | Power assessment for unit root tests
yegcm | Engle-Granger cointegration model from Yahoo! price series