Unit root and cointegration tests for time series data

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Documentation for package ‘urca’ version 1.1-6

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.spcv Critical values for Schmidt & Phillips Unit Root Test
ablrtest Likelihood ratio test for restrictions on alpha and beta
alphaols OLS regression of VECM weighting matrix
alrtest Likelihood ratio test for restrictions on alpha
bh5lrtest Likelihood ratio test for restrictions under partly known beta
bh6lrtest Likelihood ratio test for restrictions under partly known beta in a subspace
blrtest Likelihood ratio test for restrictions on beta
ca.jo Johansen Procedure for VAR
ca.jo-class Representation of class ‘ca.jo’
ca.po Phillips & Ouliaris Cointegration Test
ca.po-class Representation of class ‘ca.po’
cajo.test-class Representation of class ‘cajo.test’
cajolst Testing Cointegrating Rank with Level Shift at Unknown time
cajools OLS regression of VECM
cajorls OLS regression of VECM
denmark Data set for Denmark, Johansen & Juselius (1990)
ecb Macroeconomic data of the Euro Zone
finland Data set for Finland, Johansen & Juseliues (1990)
lttest Likelihood ratio test for no linear trend in VAR
npext Nelson & Plosser extended data set
nporg Nelson & Plosser original data set
plot Methods for Function plot in Package ‘urca’
plot,ca.jo,missing-method Methods for Function plot in Package ‘urca’
plot,ca.po,missing-method Methods for Function plot in Package ‘urca’
plot,ur.df,missing-method Methods for Function plot in Package ‘urca’
plot,ur.ers,missing-method Methods for Function plot in Package ‘urca’
plot,ur.kpss,missing-method Methods for Function plot in Package ‘urca’
plot,ur.pp,missing-method Methods for Function plot in Package ‘urca’
plot,ur.sp,missing-method Methods for Function plot in Package ‘urca’
plot,ur.za,missing-method Methods for Function plot in Package ‘urca’
plot-methods Methods for Function plot in Package ‘urca’
plotres Graphical inspection of VECM residuals
Raotbl1 Data set used by Dickey, Jansen & Thornton (1994)
Raotbl2 Data set used by Dickey, Jansen & Thornton (1994)
Raotbl3 Data set used by Holden and Perman (1994)
Raotbl4 Data set used by Pierre Perron (1994)
Raotbl5 Data set used by Pierre Perron (1994)
Raotbl6 Data set used by Yash P. Mehra (1994)
Raotbl7 Data set used by Glenn Otto (1994)
show Methods for Function show in Package ‘urca’
show,ca.jo-method Methods for Function show in Package ‘urca’
show,ca.po-method Methods for Function show in Package ‘urca’
show,cajo.test-method Methods for Function show in Package ‘urca’
show,sumurca-method Methods for Function show in Package ‘urca’
show,ur.df-method Methods for Function show in Package ‘urca’
show,ur.ers-method Methods for Function show in Package ‘urca’
show,ur.kpss-method Methods for Function show in Package ‘urca’
show,ur.pp-method Methods for Function show in Package ‘urca’
show,ur.sp-method Methods for Function show in Package ‘urca’
show,ur.za-method Methods for Function show in Package ‘urca’
show-methods Methods for Function show in Package ‘urca’
show.urca Function to show objects of classes for unit root tests
summary Methods for Function summary in Package ‘urca’
summary,ca.jo-method Methods for Function summary in Package ‘urca’
summary,ca.po-method Methods for Function summary in Package ‘urca’
summary,cajo.test-method Methods for Function summary in Package ‘urca’
summary,ur.df-method Methods for Function summary in Package ‘urca’
summary,ur.ers-method Methods for Function summary in Package ‘urca’
summary,ur.kpss-method Methods for Function summary in Package ‘urca’
summary,ur.pp-method Methods for Function summary in Package ‘urca’
summary,ur.sp-method Methods for Function summary in Package ‘urca’
summary,ur.za-method Methods for Function summary in Package ‘urca’
summary-methods Methods for Function summary in Package ‘urca’
sumurca-class Representation of class ‘sumurca’
UKconinc Data set for the United Kingdom
UKconsumption Data set for the United Kingdom
UKpppuip Data set for the United Kingdom: ppp and uip
ur.df Augmented-Dickey-Fuller Unit Root Test
ur.df-class Representation of class ‘ur.df’
ur.ers Elliott, Rothenberg & Stock Unit Root Test
ur.ers-class Representation of class ‘ur.ers’
ur.kpss Kwiatkowski et al. Unit Root Test
ur.kpss-class Representation of class ‘ur.kpss’
ur.pp Phillips & Perron Unit Root Test
ur.pp-class Representation of class ‘ur.pp’
ur.sp Schmidt & Phillips Unit Root Test
ur.sp-class Representation of class ‘ur.sp’
ur.za Zivot & Andrews Unit Root Test
ur.za-class Representation of class ‘ur.za’
urca-class Class ‘urca’. Parent of classes in package ‘urca’