R: Unit Root and Cointegration Tests for Time Series Data

# Unit Root and Cointegration Tests for Time Series Data

## Documentation for package ‘urca’ version 1.3-0

- DESCRIPTION file.

## Help Pages

.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
MacKinnonPValues | MacKinnon's Unit Root p Values
npext | Nelson & Plosser extended data set
nporg | Nelson & Plosser original data set
plot | Methods for Function plot in Package urca
plot-method | Methods for Function plot in Package urca
plot-methods | Methods for Function plot in Package urca
plotres | Graphical inspection of VECM residuals
punitroot | MacKinnon's Unit Root p Values
qunitroot | MacKinnon's Unit Root p Values
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-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-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
unitrootTable | MacKinnon's Unit Root p Values
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'