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egcm: Engle-Granger Cointegration Models

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.

Version: 1.0.13
Depends: zoo, xts
Imports: grid, ggplot2, tseries, MASS, urca, parallel, pracma, stats, quantmod, methods
Published: 2023-02-27
DOI: 10.32614/CRAN.package.egcm
Author: Matthew Clegg [aut, cre, cph]
Maintainer: Matthew Clegg <matthewcleggphd at gmail.com>
License: GPL-2 | GPL-3
NeedsCompilation: no
Citation: egcm citation info
Materials: README ChangeLog
CRAN checks: egcm results

Documentation:

Reference manual: egcm.pdf

Downloads:

Package source: egcm_1.0.13.tar.gz
Windows binaries: r-devel: egcm_1.0.13.zip, r-release: egcm_1.0.13.zip, r-oldrel: egcm_1.0.13.zip
macOS binaries: r-release (arm64): egcm_1.0.13.tgz, r-oldrel (arm64): egcm_1.0.13.tgz, r-release (x86_64): egcm_1.0.13.tgz, r-oldrel (x86_64): egcm_1.0.13.tgz
Old sources: egcm archive

Linking:

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.